Identification of information networks in stock markets
Baltakiene, Margarita; Kanniainen, Juho; Baltakys, Kestutis (2021)
Baltakiene, Margarita
Kanniainen, Juho
Baltakys, Kestutis
2021
104217
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:tuni-202109157111
https://urn.fi/URN:NBN:fi:tuni-202109157111
Kuvaus
Peer reviewed
Tiivistelmä
We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks’ topology. Most importantly, our method strengthens the identified relationship between investors’ network centrality and returns. Furthermore, when less significant links are re- moved, the association between centrality and returns becomes statistically and economically stronger. Findings suggest that our approach leads to a more precise representation of the information network.
Kokoelmat
- TUNICRIS-julkaisut [16929]