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Topological properties of stock market networks: The case of Brazil

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Author Info

  • Tabak, Benjamin M.
  • Serra, Thiago R.
  • Cajueiro, Daniel O.

Abstract

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437110002992
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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 389 (2010)
Issue (Month): 16 ()
Pages: 3240-3249

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Handle: RePEc:eee:phsmap:v:389:y:2010:i:16:p:3240-3249

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Stock market network; Emerging markets; Econophysics; Minimal spanning tree;

References

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  1. Coelho, Ricardo & Gilmore, Claire G. & Lucey, Brian & Richmond, Peter & Hutzler, Stefan, 2007. "The evolution of interdependence in world equity markets—Evidence from minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 455-466.
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  12. Garas, Antonios & Argyrakis, Panos, 2007. "Correlation study of the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 399-410.
  13. Cheoljun Eom & Gabjin Oh & Seunghwan Kim, 2007. "Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market," Papers 0705.0076, arXiv.org.
  14. Brida, Juan Gabriel & Risso, Wiston Adrián, 2008. "Multidimensional minimal spanning tree: The Dow Jones case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5205-5210.
  15. Eom, Cheoljun & Oh, Gabjin & Jung, Woo-Sung & Jeong, Hawoong & Kim, Seunghwan, 2009. "Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 900-906.
  16. Onnela, J.-P. & Chakraborti, A. & Kaski, K. & Kertész, J., 2003. "Dynamic asset trees and Black Monday," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 247-252.
  17. Çukur, Sadik & Eryiğit, Mehmet & Eryiğit, Resul, 2007. "Cross correlations in an emerging market financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 555-564.
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  19. Coelho, R. & Hutzler, S. & Repetowicz, P. & Richmond, P., 2007. "Sector analysis for a FTSE portfolio of stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 615-626.
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Citations

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Cited by:
  1. Výrost, Tomáš, 2012. "Country effects in CEE3 stock market networks: a preliminary study," MPRA Paper 43481, University Library of Munich, Germany.
  2. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
  3. Theophilos Papadimitriou & Periklis Gogas & Benjamin M. Tabak, 2013. "Complex Networks and Banking Systems Supervision," Working Papers Series 306, Central Bank of Brazil, Research Department.
  4. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
  5. Wang, Gang-Jin & Xie, Chi & Han, Feng & Sun, Bo, 2012. "Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4136-4146.

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