Grouping characteristics of industry sectors in financial markets

Gabjin Oh

Physica A: Statistical Mechanics and its Applications, 2014, vol. 395, issue C, 261-268

Abstract: We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL) between stocks to quantify the grouping characteristics of the industrial sectors. We find that the grouping coefficients for the industrial sector in the U.S. are larger than those of the Korean stock market. In particular, for the Korean stock market the conglomerates, comprised of a diverse of industrial companies, have a significant grouping coefficient.

Keywords: Grouping coefficient; Complex network; Minimum spanning tree (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:395:y:2014:i:c:p:261-268

DOI: 10.1016/j.physa.2013.09.031

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