Statistical Investigation of Connected Structures of Stock Networks in a Financial Time Series

다국어 초록 (Multilingual Abstract)

In the study, we have evaluated the deterministic factors that can in°uence the connected struc-ture of a stock network. The representative index for the topological properties of a stock network is the number of links it has with other stocks. We utilize the coe±cient of determination from the multi-factor model, which attempts to explain stock returns with several explanatory variables. In this study, factors refer to common factors that commonly a®ect stocks, on the basis of the arbitrage pricing theory acknowledged in the relevant ¯nancial literature. We utilize individual stocks traded on the market indices of Korea, Japan, Canada, Italy, and the UK. We ¯nd that stocks with a large number of links in a stock network can be better explained by factors in the multi-factor model than stocks with a small number of links with other stocks. These results indicate that common factors in the ¯eld of ¯nance are signi¯cant deterministic factors that should be taken into consideration when constructing a stock network.

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