Network Structure Of Financial Market Of S&P 500 Around Financial Crises
  • Author(s): Sree Narayan Chakraborty ; Md. Javed Hossain ; Ashadun Nobi ; Mohammed Nizam Uddin
  • Paper ID: 1701416
  • Page: 229-233
  • Published Date: 24-07-2019
  • Published In: Iconic Research And Engineering Journals
  • Publisher: IRE Journals
  • e-ISSN: 2456-8880
  • Volume/Issue: Volume 3 Issue 1 July-2019
Abstract

The structural change of financial network of S&P 500 around financial crises from 1998-2012 with 6-months? time window is investigated. We construct a planar maximally filtered graph from correlations between companies. We calculate the average shortest path and clustering coefficient of the financial networks to observe the change of the network. We found the higher average shortest path before the crises and decreases over time until market enter calm state. However, the average clustering coefficient decreases in the beginning of the crises and increases with the intense of crises. The change of network structure can identify financial states which can be useful for portfolio investment.

Keywords

Correlation network, financial network, network properties, planar maximum filtered graph

Citations

IRE Journals:
Sree Narayan Chakraborty , Md. Javed Hossain , Ashadun Nobi , Mohammed Nizam Uddin "Network Structure Of Financial Market Of S&P 500 Around Financial Crises" Iconic Research And Engineering Journals Volume 3 Issue 1 2020 Page 229-233

IEEE:
Sree Narayan Chakraborty , Md. Javed Hossain , Ashadun Nobi , Mohammed Nizam Uddin "Network Structure Of Financial Market Of S&P 500 Around Financial Crises" Iconic Research And Engineering Journals, 3(1)