Deep diving into the S&P Europe 350 index network and its re-action to COVID-19

dc.contributor.authorCortés Ángel, Ariana Paola
dc.contributor.authorEratalay, Mustafa Hakan
dc.date.accessioned2022-01-31T15:23:21Z
dc.date.available2022-01-31T15:23:21Z
dc.date.issued2021
dc.description.abstractIn this paper, we analyse the dynamic partial correlation network of the constituent stocks of S&P Europe 350. We focus on global parameters such as radius, which is rarely used in financial networks literature, and also the diameter and distance parameters. The first two parameters are useful for deducing the force that economic instability should exert to trigger a cascade effect on the network. With these global parameters, we hone the boundaries of the strength that a shock should exert to trigger a cascade effect. In addition, we analysed the homophilic profiles, which is quite new in financial networks literature. We found highly homophilic relationships among companies, considering firms by country and industry. We also calculate the local parameters such as degree, closeness, betweenness, eigenvector, and harmonic centralities to gauge the importance of the companies regarding different aspects, such as the strength of the relationships with their neighbourhood and their location in the network. Finally, we analysed a network substructure by introducing the skeleton concept of a dynamic network. This subnetwork allowed us to study the stability of relations among constituents and detect a significant increase in these stable connections during the Covid-19 pandemic.en
dc.identifier.urihttp://hdl.handle.net/10062/76615
dc.language.isoengen
dc.relationinfo:eu-repo/grantAgreement/EC/H2020/822781///GROWINPROen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectfinancial networksen
dc.subjectcentralitiesen
dc.subjecthomophilyen
dc.subjectmultivariate GARCHen
dc.subjectnetworks connectivityen
dc.subjectgaussian graphical modelen
dc.subjectCovid-19en
dc.titleDeep diving into the S&P Europe 350 index network and its re-action to COVID-19en
dc.typeinfo:eu-repo/semantics/articleen

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Cortes Angel_Eratalay_GROWINPRO_2021_42.pdf
Size:
9.38 MB
Format:
Adobe Portable Document Format
Description:

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.67 KB
Format:
Item-specific license agreed upon to submission
Description: