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Characteristics of the Polish Stock Market correlations

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  • Galazka, Marek

Abstract

In this paper a network structure of the Polish Stock Market (PSM), one of the emerging markets, is studied. The conceptions: Minimum Spanning Tree (MST) and Weighted Random Graph (WRG), constructed among companies listed on this stock exchange, are compared. In these models denote each vertex a stock and the weight assigned to each edge in WRG is the cross-correlation coefficients. The Influence-Strength (IS) is at each vertex in both models defined: in WRG as the sum of the weights on the edges upon that vertex, in MST as the vertex degree. The IS distribution follows a power law with exponent r = 1.8 in WRG and [delta] = 2.2 in MST. Both results show that there must be a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market. In both cases these are the same companies.

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  • Galazka, Marek, 2011. "Characteristics of the Polish Stock Market correlations," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 1-5, January.
    • Handle: RePEc:eee:finana:v:20:y:2011:i:1:p:1-5
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    References listed on IDEAS

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    5. Kalyagin, V.A. & Koldanov, A.P. & Koldanov, P.A. & Pardalos, P.M. & Zamaraev, V.A., 2014. "Measures of uncertainty in market network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 59-70.

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