Title:

Characteristics of the Polish Stock Market Correlations

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

Charakterystyka korelacji na polskim rynku akcji

Creator:

Gałązka, Marek

Subject and Keywords:

emerging markets ; scale-free network ; complex system ; random graph ; financial correlations

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2010; Nr 141, s. 128-136

Abstrakt:

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 every vertex is a stock and the weight assigned to each edge in WRG is the cross-correlation coefficient. The Influence-Strength (IS) is defined at every vertex in both models: 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 = 1.6 in WRG and 5 = 2.2 in MST. The 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.

Publisher:

Uniwersytet Ekonomiczny we Wrocławiu

Place of publication:

Wrocław

Date:

2010

Resource Type:

artykuł

Language:

eng

Relation:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2010; Nr 141 ; Ekonometria = Econometrics, 2011, Nr 29 ; Zastosowania metod ilościowych

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Coverage:

Dofinansowano z programu "Społeczna odpowiedzialność nauki" Ministra Edukacji i Nauki (SONB/SP/546390/2022). Tytuł projektu: Upowszechnienie zawartości czasopisma Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu