Dynamics of investor spanning trees around dot-com bubble

Sindhuja Ranganathan; Mikko Kivelä; Juho Kanniainen

doi:10.1371/journal.pone.0198807

Dynamics of investor spanning trees around dot-com bubble

Sindhuja Ranganathan, Mikko Kivelä, Juho Kanniainen

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Abstract

We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. The analysis is conducted separately for households, financial, and non-financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had a clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of the bubble. At the same time, we find less clear reactions in the minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggests that household investors can have a greater herding tendency around bubbles.

Original language	English
Article number	e0198807
Journal	PLoS ONE
Volume	13
Issue number	6
DOIs	https://doi.org/10.1371/journal.pone.0198807
Publication status	Published - Jun 2018
Publication type	A1 Journal article-refereed

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10.1371/journal.pone.0198807Licence: CC BY

Dynamics of investor spanning trees around dot-com bubble
© 2018 Ranganathan et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. http://creativecommons.org/licenses/by/4.0/
Final published version, 1.39 MBLicence: CC BY

http://urn.fi/URN:NBN:fi:tty-201807302027Licence: CC BY

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Dynamics of investor spanning trees around dot-com bubble

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