Dynamics of investor spanning trees around dot-com bubble
Research output: Contribution to journal › Article › Scientific › peer-review
- Tampere University of Technology
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.
|Publication status||Published - 1 Jun 2018|
|MoE publication type||A1 Journal article-refereed|