Dynamics of investor spanning trees around dot-com bubble

Sindhuja Ranganathan, Mikko Kivelä, Juho Kanniainen

    Tutkimustuotos: ArtikkeliScientificvertaisarvioitu

    4 Sitaatiot (Scopus)
    61 Lataukset (Pure)

    Abstrakti

    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.
    AlkuperäiskieliEnglanti
    Artikkelie0198807
    JulkaisuPLoS ONE
    Vuosikerta13
    Numero6
    DOI - pysyväislinkit
    TilaJulkaistu - kesäk. 2018
    OKM-julkaisutyyppiA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä

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