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Investigating the correlation network of volatility in index stocks of 30 companies In the bubble and crash of the Iranian stock market
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Samaneh Bagheri1   , Habib Ansari samani 2, Mohammad hassan Zarra3 , Mojtaba Hossini bamakan3 |
1- PhD student in Economics, Faculty of Economics, Management and Accounting, Yazd University
2- Associate Professor of Economics, Faculty of Economics, Management and Accounting, Yazd University (corresponding author) , ha.ansarisa@gmail.com
3- Assistant Professor of Economics, Faculty of Economics, Management and Accounting, Yazd University. |
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Abstract: (443 Views) |
The stock market is one of the most important financial markets for investors. For the first time, this research examines the correlation network of volatility in the index stocks of 30 companies as the most powerful companies in terms of liquidity and value in the capital market, in two periods of the bubble and the collapse of the Iranian stock market. In this research, Pearson's correlation test and complex network theory have been used. The investigated period includes the stock market bubble from 5/1/1399 to 5/19/1399 and the period of the collapse of the Iranian stock market from 5/20/1399 to 11/5/1400. During the bubble period of the Iranian stocks market, Shapna stock have the highest volatility correlation in this network, and Hekhshti and Khodro stocks have the lowest volatility correlations. In the period of stock market crash, the network density and clustering coefficient have increased, which shows that the volatility spreads more widely in the network. If the modularity value is low, it is possible for the system to crash in case of a shock to the system. According to the modularity in the correlation network of turbulence, it has decreased in the period of the fall of the Iranian stock market, which indicates the contagion of the shock and the collapse of the system in the network of the fall of the Iranian stock market. Eigenvector Centrality has increased during the period of stock market crash, which means an increase in the ability to transmit volatility in network nodes. Garh Shepna has the power to spread risk during the bubble period of the stock market, and Fem share has the power to spread risk in the stock market network during the collapse of the Iranian stock market. During the bubble period of the stock market, Shepna's stock has a more volatile correlation with other stocks. Fakhuz and Hakhshti stocks have the least correlation of turbulence with other network shares. Femli's share has the highest correlation in the network and Akhabar's stock has the lowest correlation in the turbulence correlation network. Shabandar stock has the highest turbulence correlation in the network. The lowest turbulence correlation in the turbulence correlation network related to stocks is news.
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Article number: 2 |
| Keywords: 30 companies index, correlation network, Pearson test, complex network theory |
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Full-Text [PDF 2039 kb]
(90 Downloads)
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Article type: Research |
Subject:
Special
Received: 2023/10/28 | Accepted: 2024/03/4 | Published: 2024/07/31
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