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The network of the Italian stock market during the 2008–2011 financial crises

Author

Listed:
  • Coletti, Paolo

    (Faculty of Economics and Management, Free University of Bozen Bolzano)

  • Murgia, Maurizio

    (Faculty of Economics and Management, Free University of Bozen Bolzano)

Abstract

We build the network of the top 190 Italian quoted companies during the two financial crises of 2008-2009 (US credit crisis) and 2010-2011 (European sovereign debt crisis) and compare its structure to the pre-crises years, using both minimum spanning trees and the full network with thresholds. We also analyze the centrality and compactness of industry sectors. We find a general contraction of the network during the crises, both numerically due to stronger correlation as well as topologically, with the appearance of central dominant companies which attract the other ones into a very large cluster, dominated by financial institutions (commercial banks and insurance companies). In particular, we note the role of insurance behemoth Assicurazioni Generali, which rises from a pre-crises subordinate role to become the central company in the minimum spanning tree after the crises period. The few sectors which maintain compactness before and during the crises are utilities, publishing, and construction.

Suggested Citation

  • Coletti, Paolo & Murgia, Maurizio, 2016. "The network of the Italian stock market during the 2008–2011 financial crises," Algorithmic Finance, IOS Press, vol. 5(3-4), pages 111-137.
  • Handle: RePEc:ris:iosalg:0053
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    Citations

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    Cited by:

    1. He, Chengying & Wen, Zhang & Huang, Ke & Ji, Xiaoqin, 2022. "Sudden shock and stock market network structure characteristics: A comparison of past crisis events," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    2. Bilal Ahmed Memon & Rabia Tahir, 2021. "Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 329-344.

    More about this item

    Keywords

    Minimum spanning tree; Italian stock market; correlation network; financial crisis; stock ownership;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

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