A HIERARCHICAL VIEW OF A NATIONAL STOCK MARKET AS A COMPLEX NETWORK

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dc.authoridBaydilli, Yusuf Yargi/0000-0002-4457-2081
dc.authoridBAYIR, Safak/0000-0003-4719-8088
dc.contributor.authorBaydilli, Yusuf Yargi
dc.contributor.authorBayir, Safak
dc.contributor.authorTurker, Ilker
dc.date.accessioned2024-09-29T16:11:29Z
dc.date.available2024-09-29T16:11:29Z
dc.date.issued2017
dc.departmentKarabük Üniversitesien_US
dc.description.abstractWe created a financial network for Borsa Istanbul 100 Index (BIST-100) which forms of N=100 stocks that bargained during T=2 years (2011-2013). We analyzed the market via minimum spanning tree (MST) and hierarchical tree (HT) by using filtered correlation matrix. While using hierarchical methods in order to investigate factors that affecting grouping of stocks, we have taken account the other statistical and data mining methods to examine success of stock correlation network concept for portfolio optimization, risk management and crisis analysis. We observed that financial stocks, especially Banks, are central position of the network and control information flow. Besides the sectoral and sub-sectoral behavior, corporations play role at grouping of stocks. Finally, this technique provided important tips for determining risky stocks in market.en_US
dc.identifier.endpage222en_US
dc.identifier.issn0424-267X
dc.identifier.issn1842-3264
dc.identifier.issue1en_US
dc.identifier.startpage205en_US
dc.identifier.urihttps://hdl.handle.net/20.500.14619/8475
dc.identifier.volume51en_US
dc.identifier.wosWOS:000398017300013en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherAcad Economic Studiesen_US
dc.relation.ispartofEconomic Computation and Economic Cybernetics Studies and Researchen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectStock correlation networken_US
dc.subjectstock marketen_US
dc.subjectfinancial networken_US
dc.subjectcorrelation-based clusteringen_US
dc.subjectdegree distributionen_US
dc.subjectIstanbul Stock Exchangeen_US
dc.subjectminimum spanning treeen_US
dc.subjecthierarchical treeen_US
dc.titleA HIERARCHICAL VIEW OF A NATIONAL STOCK MARKET AS A COMPLEX NETWORKen_US
dc.typeArticleen_US

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