Joint Dynamics of Investor Networks and Stock Prices

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