Joint Dynamics of Investor Networks and Stock Prices
13 Pages Posted: 5 Jun 2020 Last revised: 1 Sep 2020
Date Written: April 14, 2020
We introduce various network similarity measures that can capture the topological changes of investor networks over time. We use them to study the joint dynamics of investor networks and stock price time series. We find that the network changes are positively correlated with volatility while negatively correlated with the returns. However, their relationships with absolute changes in stock prices are non-linear and positive. This finding can be helpful to study investor trading behaviours in different market conditions.
Keywords: Investor network, investor behavior, network comparison
JEL Classification: G01, G02
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