Characteristics of the Polish Stock Market correlations

Marek Galazka

International Review of Financial Analysis, 2011, vol. 20, issue 1, 1-5

Abstract: In this paper a network structure of the Polish Stock Market (PSM), one of the emerging markets, is studied. The conceptions: Minimum Spanning Tree (MST) and Weighted Random Graph (WRG), constructed among companies listed on this stock exchange, are compared. In these models denote each vertex a stock and the weight assigned to each edge in WRG is the cross-correlation coefficients. The Influence-Strength (IS) is at each vertex in both models defined: in WRG as the sum of the weights on the edges upon that vertex, in MST as the vertex degree. The IS distribution follows a power law with exponent r = 1.8 in WRG and [delta] = 2.2 in MST. Both results show that there must be a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market. In both cases these are the same companies.

Keywords: Emerging; markets; Scale-free; network; Complex; system; Random; graph; Financial; correlations (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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