Data from: Dynamics of investor spanning trees around dot-com bubble
Data files
Jun 01, 2019 version files 36.43 MB
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financial institution.zip
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households_part1.zip
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households_part2.zip
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non-financial institution.zip
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README_for_financial institution.txt
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README_for_households_part1.txt
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README_for_households_part2.txt
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README_for_non-financial institution.txt
Abstract
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. The analysis is conducted separately for households, financial, and non-financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had a clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of the bubble. At the same time, we find less clear reactions in the minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggests that household investors can have a greater herding tendency around bubbles.