Munich Personal RePEc Archive

Country and industry effects in CEE stock market networks: Preliminary results

Vyrost, Tomas (2015): Country and industry effects in CEE stock market networks: Preliminary results.

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Abstract

In this working paper, the topic of country vs. industry effects in stock returns is explored. An approach based on stock market network modeling is used to assess both effects. Three different network subgraphs are employed: Minimum Spanning Trees, Planar Maximal Filtered Graphs and Threshold Graphs. By constructing the networks for the whole sample covering 2003 – 2012, significance of country and industry effects are shown both by visual inspection, as well as simulation and fitting of Exponential Random Graph Models. The relative importance of country/industry effects are assessed using the indicators “Relative Country Links” and “Relative Industry Links”, in a rolling windows analysis covering the sample period, indicating dominance of country effects.

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