The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets

Roy Cerqueti () and Giulia Rotundo ()
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Roy Cerqueti: Sapienza University of Rome
Giulia Rotundo: Sapienza University of Rome

Journal of Economic Interaction and Coordination, 2023, vol. 18, issue 2, No 1, 213-232

Abstract: Abstract In this work, we focus on the cross-shareholding structure in financial markets. Specifically, we build ad hoc indices of concentration and control by employing a complex network approach with a weighted adjacency matrix. To describe their left and right tail dependence properties, we explore the theoretical dependence structure between such indices through copula functions. The theoretical framework has been tested over a high-quality dataset based on the Italian Stock Market. In doing so, we clearly illustrate how the methodological setting works and derive financial insights. In particular, we advance calibration exercises on parametric copulas under the minimization of both Euclidean distance and entropy measure.

Keywords: Cross-shareholdings network; Entropy; Concentration and control; Copulas (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11403-022-00364-7

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