Comparing Investor Networks in Different Market Conditions
9 Pages Posted: 11 May 2020 Last revised: 29 Oct 2020
Date Written: April 14, 2020
We investigate investor behaviors before and during the global financial crisis of 2007-2008 using complex network theory. We find that investor networks have different structures between pre-crisis and crisis periods with statistical significance. Moreover, we observe the herding tendency and high synchronization in trade timing during the crisis, which is supported by the literature. These findings can be used to develop early-warning signals for crises in stock markets.
Keywords: Investor networks; Herding; Financial crisis; Network comparison
JEL Classification: G01, G02
Suggested Citation: Suggested Citation