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Network Centrality and Cross-Section of Stock Market Returns

In: Ieis 2020

Author

Listed:
  • Zhuo Xu

    (Beijing Jiaotong University)

  • Zhen Li

    (Beijing Capital Group)

  • Tong Fang

    (Shandong University)

Abstract

We construct a network centrality portfolio strategy using Planar Maximally Filtered Graph, and investigate the relationships between centrality and cross-section of international stock markets. We find that the network centrality could significantly explain the cross-section of stock market returns. A subsample analysis shows that the strategy performs better before the crisis, which reveals that business cycles influence the performance of the strategy.

Suggested Citation

  • Zhuo Xu & Zhen Li & Tong Fang, 2021. "Network Centrality and Cross-Section of Stock Market Returns," Springer Books, in: Menggang Li & Gábor Bohács & Guowei Hua & Daqing Gong & Xiaopu Shang (ed.), Ieis 2020, pages 1-7, Springer.
    • Handle: RePEc:spr:sprchp:978-981-33-4363-4_1
    DOI: 10.1007/978-981-33-4363-4_1
    as

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