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Dynamics of Investor Spanning Trees Around Dot-Com Bubble

Sindhuja Ranganathan, Mikko Kivel\"a and Juho Kanniainen

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Abstract: We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We conduct the analysis separately for households, non-financial institutions, and financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of bubble. At the same time, we find less clear reactions in minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggest that household investors can have a greater herding tendency around bubbles.

New Economics Papers: this item is included in nep-fle
Date: 2017-08
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