کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975447 1480166 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Effects of global financial crisis on network structure in a local stock market
ترجمه فارسی عنوان
تأثیر بحران مالی جهانی بر ساختار شبکه در بازار سهام محلی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• Threshold networks in Korea stock market are generated around the financial crisis.
• During the crisis the financial sector and heavy industry sector combined tightly.
• The degree distributions of the networks follow the power law in a limited range.
• The clustering coefficients show the scaling behavior to the threshold.

This study considers the effects of the 2008 global financial crisis on threshold networks of a local Korean financial market around the time of the crisis. Prices of individual stocks belonging to KOSPI 200 (Korea Composite Stock Price Index 200) are considered for three time periods, namely before, during, and after the crisis. Threshold networks are constructed from fully connected cross-correlation networks, and thresholds of cross-correlation coefficients are assigned to obtain threshold networks. At the high threshold, only one large cluster consisting of firms in the financial sector, heavy industry, and construction is observed during the crisis. However, before and after the crisis, there are several fragmented clusters belonging to various sectors. The power law of the degree distribution in threshold networks is observed within the limited range of thresholds. Threshold networks are fatter during the crisis than before or after the crisis. The clustering coefficient of the threshold network follows the power law in the scaling range.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 407, 1 August 2014, Pages 135–143
نویسندگان
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