Network Centrality and Cross-Section of Stock Market Returns

Zhuo Xu (), Zhen Li () and Tong Fang ()
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Zhuo Xu: Beijing Jiaotong University
Zhen Li: Beijing Capital Group
Tong Fang: Shandong University

A chapter in IEIS 2020, 2021, pp 1-7 from Springer

Abstract: Abstract We construct a network centrality portfolio strategy using Planar Maximally Filtered Graph, and investigate the relationships between centrality and cross-section of international stock markets. We find that the network centrality could significantly explain the cross-section of stock market returns. A subsample analysis shows that the strategy performs better before the crisis, which reveals that business cycles influence the performance of the strategy.

Keywords: Stock market network; Portfolio strategy; Cross-section; PMFG (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-33-4363-4_1

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DOI: 10.1007/978-981-33-4363-4_1

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