Stock market return predictability: Does network topology matter?
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DOI: 10.1007/s11156-017-0676-3
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Cited by:
- Chun-Xiao Nie, 2021. "Studying the correlation structure based on market geometry," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 411-441, April.
- Shi, Huai-Long & Chen, Huayi, 2024. "Understanding co-movements based on heterogeneous information associations," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
- Yao, Hongxing & Memon, Bilal Ahmed, 2019. "Network topology of FTSE 100 Index companies: From the perspective of Brexit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1248-1262.
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More about this item
Keywords
Stock market network; Network topology; Return predictability; Diameter; Idiosyncratic risk; Average stock variance;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
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