Structure of investor networks and financial crises

Kęstutis Baltakys; Hung Le Viet; Juho Kanniainen

doi:10.3390/e23040381

Structure of investor networks and financial crises

Kęstutis Baltakys^*
, Hung Le Viet
, Juho Kanniainen

^*Corresponding author for this work

Computing Sciences

Research output: Contribution to journal › Article › Scientific › peer-review

3 Citations (Scopus)

22 Downloads (Pure)

Abstract

In this paper, we ask whether the structure of investor networks, estimated using shareholder registration data, is abnormal during a financial crises. We answer this question by analyzing the structure of investor networks through several most prominent global network features. The networks are estimated from data on marketplace transactions of all publicly traded securities executed in the Helsinki Stock Exchange by Finnish stock shareholders between 1995 and 2016. We observe that most of the feature distributions were abnormal during the 2008-2009 financial crisis, with statistical significance. This paper provides evidence that the financial crisis was associated with a structural change in investors’ trade time synchronization. This indicates that the way how investors use their private information channels changes depending on the market conditions.

Original language	English
Article number	381
Journal	Entropy
Volume	23
Issue number	4
DOIs	https://doi.org/10.3390/e23040381
Publication status	Published - 24 Mar 2021
Publication type	A1 Journal article-refereed

Funding

Funding: H.L.V. received funding for the research project leading to these results from the EU Research and Innovation Programme Horizon 2020, Marie Sklodowska-Curie Individual Fellowship, under grant agreement no.796315 (InvestorCliques).

Keywords

Complex networks
Financial crisis
Investor networks
Network theory
Network topology
Stock markets

Publication forum classification

Publication forum level 1

ASJC Scopus subject areas

Information Systems
Mathematical Physics
Physics and Astronomy (miscellaneous)
Electrical and Electronic Engineering

Access to Document

10.3390/e23040381Licence: CC BY

entropy-23-00381Final published version, 5.19 MBLicence: CC BY

http://urn.fi/URN:NBN:fi:tuni-202105285551Licence: CC BY

Cite this

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title = "Structure of investor networks and financial crises",

abstract = "In this paper, we ask whether the structure of investor networks, estimated using shareholder registration data, is abnormal during a financial crises. We answer this question by analyzing the structure of investor networks through several most prominent global network features. The networks are estimated from data on marketplace transactions of all publicly traded securities executed in the Helsinki Stock Exchange by Finnish stock shareholders between 1995 and 2016. We observe that most of the feature distributions were abnormal during the 2008-2009 financial crisis, with statistical significance. This paper provides evidence that the financial crisis was associated with a structural change in investors{\textquoteright} trade time synchronization. This indicates that the way how investors use their private information channels changes depending on the market conditions.",

keywords = "Complex networks, Financial crisis, Investor networks, Network theory, Network topology, Stock markets",

author = "K{\c e}stutis Baltakys and \{Le Viet\}, Hung and Juho Kanniainen",

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AU - Baltakys, Kęstutis

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PY - 2021/3/24

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N2 - In this paper, we ask whether the structure of investor networks, estimated using shareholder registration data, is abnormal during a financial crises. We answer this question by analyzing the structure of investor networks through several most prominent global network features. The networks are estimated from data on marketplace transactions of all publicly traded securities executed in the Helsinki Stock Exchange by Finnish stock shareholders between 1995 and 2016. We observe that most of the feature distributions were abnormal during the 2008-2009 financial crisis, with statistical significance. This paper provides evidence that the financial crisis was associated with a structural change in investors’ trade time synchronization. This indicates that the way how investors use their private information channels changes depending on the market conditions.

AB - In this paper, we ask whether the structure of investor networks, estimated using shareholder registration data, is abnormal during a financial crises. We answer this question by analyzing the structure of investor networks through several most prominent global network features. The networks are estimated from data on marketplace transactions of all publicly traded securities executed in the Helsinki Stock Exchange by Finnish stock shareholders between 1995 and 2016. We observe that most of the feature distributions were abnormal during the 2008-2009 financial crisis, with statistical significance. This paper provides evidence that the financial crisis was associated with a structural change in investors’ trade time synchronization. This indicates that the way how investors use their private information channels changes depending on the market conditions.

KW - Complex networks

KW - Financial crisis

KW - Investor networks

KW - Network theory

KW - Network topology

KW - Stock markets

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Structure of investor networks and financial crises

Abstract

Funding

Keywords

Publication forum classification

ASJC Scopus subject areas

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