The network of the Italian stock market during the 2008–2011 financial crises
Paolo Coletti () and
Maurizio Murgia ()
Additional contact information
Paolo Coletti: Faculty of Economics and Management, Free University of Bozen Bolzano, Postal: piazza dell’Università 1, Bolzano, Italy
Algorithmic Finance, 2016, vol. 5, issue 3-4, 111-137
We build the network of the top 190 Italian quoted companies during the two financial crises of 2008-2009 (US credit crisis) and 2010-2011 (European sovereign debt crisis) and compare its structure to the pre-crises years, using both minimum spanning trees and the full network with thresholds. We also analyze the centrality and compactness of industry sectors. We find a general contraction of the network during the crises, both numerically due to stronger correlation as well as topologically, with the appearance of central dominant companies which attract the other ones into a very large cluster, dominated by financial institutions (commercial banks and insurance companies). In particular, we note the role of insurance behemoth Assicurazioni Generali, which rises from a pre-crises subordinate role to become the central company in the minimum spanning tree after the crises period. The few sectors which maintain compactness before and during the crises are utilities, publishing, and construction.
Keywords: Minimum spanning tree; Italian stock market; correlation network; financial crisis; stock ownership (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0053
Access Statistics for this article
Algorithmic Finance is currently edited by Phil Maymin
More articles in Algorithmic Finance from IOS Press
Bibliographic data for series maintained by Saskia van Wijngaarden ().