Dynamics of investor spanning trees around dot-com bubble

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  • Tampere University of Technology

Abstract

We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. The analysis is conducted separately for households, financial, and nonfinancial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had a clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of the bubble. At the same time, we find less clear reactions in the minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggests that household investors can have a greater herding tendency around bubbles.

Details

Original languageEnglish
Article numbere0198807
Pages (from-to)1-14
JournalPloS one
Volume13
Issue number6
Publication statusPublished - 1 Jun 2018
MoE publication typeA1 Journal article-refereed

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