Which stocks are profitable? A network method to investigate the effects of network structure on stock returns

Chen, Kun; Luo, Peng; Sun, Bianxia; Wang, Huaiqing

2015-10-15

10.1016/j.physa.2015.05.047

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   影响因子和分区

0378-4371

1873-2119

According to asset pricing theory, a stock's expected returns are determined by its exposure to systematic risk. In this paper, we propose a new method for analyzing the interaction effects among industries and stocks on stock returns. We construct a complex network based on correlations of abnormal stock returns and use centrality and modularity, two popular measures in social science, to determine the effect of interconnections on industry and stock returns. Supported by previous studies, our findings indicate that a relationship exists between inter-industry closeness and industry returns and between stock centrality and stock returns. The theoretical and practical contributions of these findings are discussed. (C) 2015 Elsevier B.V. All rights reserved.

Network structure Asset pricing model Stock returns Centrality Modularity

SCI ; EI ; SSCI

英语

第一 ; 通讯

Physics

Physics, Multidisciplinary

WOS:000357704500020

ELSEVIER SCIENCE BV

20152200883505

Complex networks ; Costs ; Investments

Computer Systems and Equipment:722 ; Cost and Value Engineering; Industrial Economics:911

PHYSICS

Web of Science

South Univ Sci & Technol China, Dept Financial Math & Engn, Shenzhen, Peoples R China

Chen, Kun,Luo, Peng,Sun, Bianxia,et al. Which stocks are profitable? A network method to investigate the effects of network structure on stock returns[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2015,436:224-235.

Chen, Kun,Luo, Peng,Sun, Bianxia,&Wang, Huaiqing.(2015).Which stocks are profitable? A network method to investigate the effects of network structure on stock returns.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,436,224-235.

Chen, Kun,et al."Which stocks are profitable? A network method to investigate the effects of network structure on stock returns".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 436(2015):224-235.