Network structures of the European stock market

D 2012

Network structures of the European stock market

CUPAL, Martin; Oleg DEEV a Dagmar LINNERTOVÁ

Základní údaje

Originální název

Network structures of the European stock market

Autoři

CUPAL, Martin; Oleg DEEV a Dagmar LINNERTOVÁ

Vydání

Karviná, Proceedings of the 30th International Conference Mathematical Methods in Economics, od s. 79-84, 6 s. 2012

Nakladatel

Silesian University, School of Business Administration

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/12:00060882

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7248-779-0

UT WoS

000316715900014

Klíčová slova anglicky

stock markets; cross-correlation networks; network topology

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 7. 4. 2014 13:11, Ing. Dagmar Vágnerová Linnertová, Ph.D.

Anotace

V originále

The paper examines changing topological characteristics of correlation-based network of European stock markets on both national and supranational levels. First, the problem of how to correctly build a representative correlation-based procedure and choose a specific filtering procedure for identifying the strongest links is addressed. Then, network structures are investigated on several datasets, for which the data of different time intervals and varying frequency are assembled. On a national level, core stem of stock markets of highly developed countries is found to be stable over time with French market playing the central role. On the supranational level, stocks are clustered based on their economic sector, rather than country’s origin. Network modeling of a stock market proves to be highly useful and powerful tool, since network formulation could give much insight and understanding on mutual dependence of stocks’ behavior by simply examining graphic representation of the market.

Citovat

CUPAL, Martin; Oleg DEEV a Dagmar LINNERTOVÁ. Network structures of the European stock market. In Ramík, J. and Stavárek, D. Proceedings of the 30th International Conference Mathematical Methods in Economics. Karviná: Silesian University, School of Business Administration, 2012, s. 79-84. ISBN 978-80-7248-779-0.

@inproceedings{991892,
   author = {Cupal, Martin and Deev, Oleg and Linnertová, Dagmar},
   address = {Karviná},
   booktitle = {Proceedings of the 30th International Conference Mathematical Methods in Economics},
   editor = {Ramík, J. and Stavárek, D.},
   keywords = {stock markets; cross-correlation networks; network topology},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Karviná},
   isbn = {978-80-7248-779-0},
   pages = {79-84},
   publisher = {Silesian University, School of Business Administration},
   title = {Network structures of the European stock market},
   url = {http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf},
   year = {2012}
}

TY  - CONF
ID  - 991892
AU  - Cupal, Martin - Deev, Oleg - Linnertová, Dagmar
PY  - 2012
TI  - Network structures of the European stock market
PB  - Silesian University, School of Business Administration
CY  - Karviná
SN  - 9788072487790
KW  - stock markets
KW  - cross-correlation networks
KW  - network topology
UR  - http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf
L2  - http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf
N2  - The paper examines changing topological characteristics of correlation-based network of European stock markets on both national and supranational levels. First, the problem of how to correctly build a representative correlation-based procedure and choose a specific filtering procedure for identifying the strongest links is addressed. Then, network structures are investigated on several datasets, for which the data of different time intervals and varying frequency are assembled. On a national level, core stem of stock markets of highly developed countries is found to be stable over time with French market playing the central role. On the supranational level, stocks are clustered based on their economic sector, rather than country’s origin. Network modeling of a stock market proves to be highly useful and powerful tool, since network formulation could give much insight and understanding on mutual dependence of stocks’ behavior by simply examining graphic representation of the market.
ER  -

CUPAL, Martin; Oleg DEEV a Dagmar LINNERTOVÁ. Network structures of the European stock market. In Ramík, J. and Stavárek, D. \textit{Proceedings of the 30th International Conference Mathematical Methods in Economics}. Karviná: Silesian University, School of Business Administration, 2012, s.~79-84. ISBN~978-80-7248-779-0.

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