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Data from: Dynamics of investor spanning trees around dot-com bubble

Citation

Ranganathan, Sindhuja; Kivelä, Mikko; Kanniainen, Juho (2019), Data from: Dynamics of investor spanning trees around dot-com bubble, Dryad, Dataset, https://doi.org/10.5061/dryad.5b8n621

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.

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