Cortés Ángel Ariana Paola, Eratalay Mustafa Hakan
Department of Economics, University of Tartu, Narva Mnt. 18, 51009 Tartu, Estonia.
J Comput Soc Sci. 2022;5(2):1343-1408. doi: 10.1007/s42001-022-00172-w. Epub 2022 Jun 28.
In this paper, we analyse the dynamic partial correlation network of the constituent stocks of S&P Europe 350. We focus on global parameters such as radius, which is rarely used in financial networks literature, and also the diameter and distance parameters. The first two parameters are useful for deducing the force that economic instability should exert to trigger a cascade effect on the network. With these global parameters, we hone the boundaries of the strength that a shock should exert to trigger a cascade effect. In addition, we analysed the homophilic profiles, which is quite new in financial networks literature. We found highly homophilic relationships among companies, considering firms by country and industry. We also calculate the local parameters such as degree, closeness, betweenness, eigenvector, and harmonic centralities to gauge the importance of the companies regarding different aspects, such as the strength of the relationships with their neighbourhood and their location in the network. Finally, we analysed a network substructure by introducing the skeleton concept of a dynamic network. This subnetwork allowed us to study the stability of relations among constituents and detect a significant increase in these stable connections during the Covid-19 pandemic.
在本文中，我们分析了标准普尔欧洲350指数成分股的动态偏相关网络。我们关注一些全局参数，比如半径（这在金融网络文献中很少被使用），还有直径和距离参数。前两个参数有助于推断经济不稳定为触发网络中的级联效应所应施加的力量。借助这些全局参数，我们精确确定了冲击为触发级联效应所应施加的强度边界。此外，我们分析了同配性概况，这在金融网络文献中相当新颖。考虑到公司的国别和行业，我们发现公司之间存在高度同配关系。我们还计算了诸如度中心性、接近中心性、中介中心性、特征向量中心性和谐波中心性等局部参数，以衡量公司在不同方面的重要性，比如与其邻域关系的强度以及它们在网络中的位置。最后，我们通过引入动态网络的骨架概念来分析网络子结构。这个子网使我们能够研究成分股之间关系的稳定性，并检测到在新冠疫情期间这些稳定连接显著增加。
