Joint Dynamics of Investor Networks and Stock Prices

15 Pages Posted: 5 Jun 2020

See all articles by Viet Hung Le

Viet Hung Le

Faculty of Information Technology and Communication Sciences, Tampere University

Date Written: April 14, 2020

Abstract

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

Suggested Citation

Le, Viet Hung, Joint Dynamics of Investor Networks and Stock Prices (April 14, 2020). Available at SSRN: https://ssrn.com/abstract=3575580 or http://dx.doi.org/10.2139/ssrn.3575580

Viet Hung Le (Contact Author)

Faculty of Information Technology and Communication Sciences, Tampere University ( email )

Finland

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