Topology of the South African stock market network across the 2008 financial crisis

Mohamed Majapa and Sean Joss Gossel

Physica A: Statistical Mechanics and its Applications, 2016, vol. 445, issue C, 35-47

Abstract: This study uses the cross-correlations in the daily closing prices of the South African Top 100 companies listed on the JSE All share index (ALSI) from June 2003 to June 2013 to compute minimum spanning tree maps. In addition to the full sample, the analysis also uses three sub-periods to investigate the topological evolution before, during, and after the 2008 financial crisis. The findings show that although there is substantial clustering and homogeneity on the JSE, the most connected nodes are in the financial and resources sectors. The sub-sample results further reveal that the JSE network tree shrank in the run-up to, and during the financial crisis, and slowly expanded afterwards. In addition, the different clusters in the network are connected by various nodes that are significantly affected by diversification and credit market dynamics.

Keywords: Econophysics; Financial crisis; Minimum spanning tree; South Africa; Stock market network (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:445:y:2016:i:c:p:35-47

DOI: 10.1016/j.physa.2015.10.108

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