A HIERARCHICAL VIEW OF A NATIONAL STOCK MARKET AS A COMPLEX NETWORK


BAYDİLLİ Y. Y. , BAYIR Ş. , TÜRKER İ.

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, cilt.51, ss.205-222, 2017 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 51 Konu: 1
  • Basım Tarihi: 2017
  • Dergi Adı: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
  • Sayfa Sayıları: ss.205-222

Özet

We created a financial network for Borsa Istanbul 100 Index (BIST-100) which forms of N=100 stocks that bargained during T=2 years (2011-2013). We analyzed the market via minimum spanning tree (MST) and hierarchical tree (HT) by using filtered correlation matrix. While using hierarchical methods in order to investigate factors that affecting grouping of stocks, we have taken account the other statistical and data mining methods to examine success of stock correlation network concept for portfolio optimization, risk management and crisis analysis. We observed that financial stocks, especially Banks, are central position of the network and control information flow. Besides the sectoral and sub-sectoral behavior, corporations play role at grouping of stocks. Finally, this technique provided important tips for determining risky stocks in market.