Network analysis of aggregated money flows in stock markets

Joonas Karaila, Kestutis Baltakys, Henri Hansen, Anubha Goel and Juho Kanniainen

Quantitative Finance, 2024, vol. 24, issue 10, 1423-1443

Abstract: We introduce the formation of a network of money flows between assets in stock markets, which captures directed relations between assets in terms of how investors have re-allocated money in the stock exchange. Our approach is based on identifying a directed link, or money flow, that occurs when an investor funds a purchase of an asset by selling another asset(s). We extract investor-level money flow networks on daily basis from shareholder registration data, which are then aggregated for both financial institutional and retail investors. Overall, we have a time series of 877 daily networks from 2006 to 2009, which is exceptionally long data on temporal networks. Through our analysis of non-reciprocated triadic patterns in the aggregated money-flow networks, we find that these patterns are both recurrent and significant. However, they are not related to the 2008 financial crisis. Additionally, we observe that the counts on different triadic motifs exhibit not only an autoregressive process but are also interconnected contemporaneously and dynamically. These findings suggest the need for further research using sophisticated network models to provide a comprehensive representation of money flows in stock markets.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2024.2409272 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:24:y:2024:i:10:p:1423-1443

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2024.2409272

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().