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The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets

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  • Roy Cerqueti

    (Sapienza University of Rome
    London South Bank University
    Université d’Angers SFR CONFLUENCES)

  • Giulia Rotundo

    (Sapienza University of Rome)

Abstract

In this work, we focus on the cross-shareholding structure in financial markets. Specifically, we build ad hoc indices of concentration and control by employing a complex network approach with a weighted adjacency matrix. To describe their left and right tail dependence properties, we explore the theoretical dependence structure between such indices through copula functions. The theoretical framework has been tested over a high-quality dataset based on the Italian Stock Market. In doing so, we clearly illustrate how the methodological setting works and derive financial insights. In particular, we advance calibration exercises on parametric copulas under the minimization of both Euclidean distance and entropy measure.

Suggested Citation

  • Roy Cerqueti & Giulia Rotundo, 2023. "The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(2), pages 213-232, April.
    • Handle: RePEc:spr:jeicoo:v:18:y:2023:i:2:d:10.1007_s11403-022-00364-7
    DOI: 10.1007/s11403-022-00364-7
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    References listed on IDEAS

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