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Reframing the S&P 500 network of stocks along the 21st century

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Resumo:Based on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a topological analysis of the resulting community structure. Both the Great Recession (2007–2008) and the Global Commodity Crisis (2010–2011) reveal tendencies of enhanced community formation compared to a formerly rather randomized network structure. Nevertheless, the drivers of the resulting clustering are found not to be related to industry sector affiliation.
Autores principais:Araújo, Tanya
Outros Autores:Göbel, Maximilian
Assunto:S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection
Ano:2019
País:Portugal
Tipo de documento:artigo
Tipo de acesso:acesso aberto
Instituição associada:Universidade de Lisboa
Idioma:inglês
Origem:Repositório da Universidade de Lisboa

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