Structural changes in the minimal spanning tree and the hierarchical network in the Korean stock market around the global financial crisis

Nobi, Ashadun; Maeng, Seong Eun; Ha, Gyeong Gyun; Lee, Jae Woo

doi:10.3938/jkps.66.1153

Cited by 22 publications

(19 citation statements)

References 35 publications

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“…However, appearance of major hub nodes in the Pakistan stock market during the current economic crisis of Pakistan is not evident, and the structure of Pakistan stock market change massively. Such phenomena of frequent change in the network structure of stock market are common during the crisis period (Nobi et al, 2015). In order to assess the dynamics of Pakistan stock market network, the topological property of Average tree length (ATL) of the eight MSTs is presented in Figure 14.…”

Section: Resultsmentioning

confidence: 99%

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Network Analysis of Pakistan Stock Market During the Turbulence of Economic Crisis

Memon

Yao

Aslam

et al. 2019

Business, Management and Education

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Purpose -the purpose of this study is to analyse the impact of the recent economic crisis on the network topology structure of Pakistan stock market. Since stock market is considered a core financial market for the development of an economy, it is often used as benchmark to measure a country`s progress. Policymakers often forecast tendency of share prices, that is dependent on several foreign and local macroeconomic factors. Therefore, the aim of this study is to investigate how rising inflation, higher interest rates, and trade and budgetary deficits affect the network structure of blue-chip 96 companies listed on the Karachi stock exchange (KSE-100) index of Pakistan stock market.Research methodology -this study follows the methodology proposed by Mantegna and Stanley and uses cross-correlation in the daily closing price of KSE 100 Index companies to compute Minimum spanning tree (MST) structures. Additionally, we also apply time-varying topological property of average tree length to extract dynamic features of the MST networks.Findings -we construct eight monthly MSTs that show the instability of the network structure and significant differences in the topological characteristics due to economic crisis of Pakistan. Furthermore, the time-varying topological property of average tree length reveals contraction of the networks due to tight correlation among stocks.Research limitations -this study focuses on correlation-based network construction of MST. The scope of the study can be widened by constructing partial correlation-based MSTs and comparison of different networks structures accordingly.Practical implications -the network properties and findings of this paper will help policymakers and regulators in setting right policies, regulatory framework, and risk management for the stock market.Originality/Value -no previous studies have performed MST based network analysis examining macroeconomic events. Therefore, we fill the research gap and thoroughly analyse structural change and dynamics of Pakistan stock market during the turbulence of current economic crisis of Pakistan.

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Section: Resultsmentioning

confidence: 99%

“…To analyse the dynamics of MST network, we calculate the size of the tree specified by the average tree length (ATL) of the minimum spanning tree. The ATL of MST can be calculated as Nobi, Maeng, Ha, and Lee (2015):…”

Section: Methodsmentioning

confidence: 99%

Network Analysis of Pakistan Stock Market During the Turbulence of Economic Crisis

Memon

Yao

Aslam

et al. 2019

Business, Management and Education

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“…In addition, the proportion of wealth that these minorities occupy is a large part of the total wealth. As is commonly known by the 80-20 rule, 20% of the rich people own 80% of the total wealth [8][9][10][11][12][13][14][15][16][17][18][19][20][21][22][23][24]. In the Sugarscape model, the distribution of wealth does not follow the perfect Pareto law, but the phenomenon of wealth inequality is observed and the capitalist economic system emerges spontaneously.…”

Section: Abm In Econophysicsmentioning

confidence: 99%

Agent-Based Models in Social Physics

Quang

Jung

Cho

et al. 2018

J. Korean Phys. Soc.

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We review the agent-based models (ABM) on social physics including econophysics. The ABM consists of agent, system space, and external environment. The agent is autonomous and decides his/her behavior by interacting with the neighbors or the external environment with the rules of behavior. Agents are irrational because they have only limited information when they make decisions.They adapt using learning from past memories. Agents have various attributes and are heterogeneous. ABM is a non-equilibrium complex system that exhibits various emergence phenomena. The social complexity ABM describes human behavioral characteristics. In ABMs of econophysics, we introduce the Sugarscape model and the artificial market models. We review minority games and majority games in ABMs of game theory. Social flow ABM introduces crowding, evacuation, traffic congestion, and pedestrian dynamics. We also review ABM for opinion dynamics and voter model. We discuss features and advantages and disadvantages of Netlogo, Repast, Swarm, and Mason, which are representative platforms for implementing ABM.

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“…Nobi et al. (2015) analyze structural changes in the minimal spanning tree and the hierarchical network in the Korean stock market around the global financial crisis. Besides, there are many studies on network stability of the financial market (e.g., Peron et al.…”

Section: Introductionmentioning

confidence: 99%

Determination of collective behavior of the financial market

2016

SpringerPlus

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In this paper, we adopt the network synchronization to measure the collective behavior in the financial market, and then analyze the factors that affect the collective behavior. Based on the data from the Chinese financial market, we find that the clustering coefficient, the average shortest path length and the volatility fluctuation have a positive effect on the collective behavior respectively, while the average return has a negative effect on it; the effect of the average shortest path length on the collective behavior is the greatest in the above four variables; the above results are robust against the window size and the time interval between adjacent windows of the stock network; the effect of network structures and stock market properties on the collective behavior during the financial crisis is the same as those during other periods.

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Structural changes in the minimal spanning tree and the hierarchical network in the Korean stock market around the global financial crisis

Cited by 22 publications

References 35 publications

Network Analysis of Pakistan Stock Market During the Turbulence of Economic Crisis

Network Analysis of Pakistan Stock Market During the Turbulence of Economic Crisis

Agent-Based Models in Social Physics

Determination of collective behavior of the financial market

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