Intraday volatility and network topological properties in the Korean stock market

Junghoon Lee, Janghyuk Youn and Woojin Chang

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 4, 1354-1360

Abstract: We examine whether the relationship between market volatility and network properties in the low-frequency level can be applied to the high-frequency level. For the analysis, we use the minimum spanning tree (MST) method constructed from intraday Korean stock market data. The results show that the higher the market volatility is, the denser the MST of stocks becomes. The normalized tree length shows a strong negative relationship with market volatility, indicating that the distances between nodes are shorter when the market volatility is high. The mean occupation layer shows the tendency of having a smaller value in a higher volatility market. The maximum number of links becomes larger when the market volatility increases. All these network properties support the network being dense and shrinking in high market volatility conditions; that is, the degree of co-movement in financial market is reinforced in the intraday high-frequency level.

Keywords: High-frequency data; Minimum spanning tree; Volatility; Topological property (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:4:p:1354-1360

DOI: 10.1016/j.physa.2011.09.016

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