Reframing the S&P 500 network of stocks along the 21st century

• Autor(a) principal: Araújo, Tanya
• Data de Publicação: 2019
• Outros Autores: Göbel, Maximilian
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/29450
• topic: S&P 500; Network Analysis; Minimal Spanning Trees; Minimal Spanning Trees; Industrial Clusters; Great Recession; Global Commodity Crisis; Community Detection

Based on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a topological analysis of the resulting community structure. Both the Great Recession (2007–2008) and the Global Commodity Crisis (2010–2011) reveal tendencies of enhanced community formation compared to a formerly rather randomized network structure. Nevertheless, the drivers of the resulting clustering are found not to be related to industry sector affiliation.