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Country and industry effects in CEE stock market networks: Preliminary results

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  • Vyrost, Tomas

Abstract

In this working paper, the topic of country vs. industry effects in stock returns is explored. An approach based on stock market network modeling is used to assess both effects. Three different network subgraphs are employed: Minimum Spanning Trees, Planar Maximal Filtered Graphs and Threshold Graphs. By constructing the networks for the whole sample covering 2003 – 2012, significance of country and industry effects are shown both by visual inspection, as well as simulation and fitting of Exponential Random Graph Models. The relative importance of country/industry effects are assessed using the indicators “Relative Country Links” and “Relative Industry Links”, in a rolling windows analysis covering the sample period, indicating dominance of country effects.

Suggested Citation

  • Vyrost, Tomas, 2015. "Country and industry effects in CEE stock market networks: Preliminary results," MPRA Paper 65775, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:65775
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    File URL: https://mpra.ub.uni-muenchen.de/65775/1/MPRA_paper_65775.pdf
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    References listed on IDEAS

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    Cited by:

    1. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.

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    More about this item

    Keywords

    stock market networks; emerging and frontier markets; portfolio diversification;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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