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Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study

The socio-economic systems today possess high levels of both interconnectedness and interdependencies, and such system-level relationships behave very dynamically. In such situations, it is all around perceived that influence is a perplexing power that has an overseeing part in affecting the dynamic...

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Detalles Bibliográficos
Autores principales: Bhattacharjee, Biplab, Shafi, Muhammad, Acharjee, Animesh
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2016
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5113066/
https://www.ncbi.nlm.nih.gov/pubmed/27846251
http://dx.doi.org/10.1371/journal.pone.0166087
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author Bhattacharjee, Biplab
Shafi, Muhammad
Acharjee, Animesh
author_facet Bhattacharjee, Biplab
Shafi, Muhammad
Acharjee, Animesh
author_sort Bhattacharjee, Biplab
collection PubMed
description The socio-economic systems today possess high levels of both interconnectedness and interdependencies, and such system-level relationships behave very dynamically. In such situations, it is all around perceived that influence is a perplexing power that has an overseeing part in affecting the dynamics and behaviours of involved ones. As a result of the force & direction of influence, the transformative change of one entity has a cogent aftereffect on the other entities in the system. The current study employs directed weighted networks for investigating the influential relationship patterns existent in a typical equity market as an outcome of inter-stock interactions happening at the market level, the sectorial level and the industrial level. The study dataset is derived from 335 constituent stocks of ‘Standard & Poor Bombay Stock Exchange 500 index’ and study period is 1(st) June 2005 to 30(th) June 2015. The study identifies the set of most dynamically influential stocks & their respective temporal pattern at three hierarchical levels: the complete equity market, different sectors, and constituting industry segments of those sectors. A detailed influence relationship analysis is performed for the sectorial level network of the construction sector, and it was found that stocks belonging to the cement industry possessed high influence within this sector. Also, the detailed network analysis of construction sector revealed that it follows scale-free characteristics and power law distribution. In the industry specific influence relationship analysis for cement industry, methods based on threshold filtering and minimum spanning tree were employed to derive a set of sub-graphs having temporally stable high-correlation structure over this ten years period.
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spelling pubmed-51130662016-12-08 Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study Bhattacharjee, Biplab Shafi, Muhammad Acharjee, Animesh PLoS One Research Article The socio-economic systems today possess high levels of both interconnectedness and interdependencies, and such system-level relationships behave very dynamically. In such situations, it is all around perceived that influence is a perplexing power that has an overseeing part in affecting the dynamics and behaviours of involved ones. As a result of the force & direction of influence, the transformative change of one entity has a cogent aftereffect on the other entities in the system. The current study employs directed weighted networks for investigating the influential relationship patterns existent in a typical equity market as an outcome of inter-stock interactions happening at the market level, the sectorial level and the industrial level. The study dataset is derived from 335 constituent stocks of ‘Standard & Poor Bombay Stock Exchange 500 index’ and study period is 1(st) June 2005 to 30(th) June 2015. The study identifies the set of most dynamically influential stocks & their respective temporal pattern at three hierarchical levels: the complete equity market, different sectors, and constituting industry segments of those sectors. A detailed influence relationship analysis is performed for the sectorial level network of the construction sector, and it was found that stocks belonging to the cement industry possessed high influence within this sector. Also, the detailed network analysis of construction sector revealed that it follows scale-free characteristics and power law distribution. In the industry specific influence relationship analysis for cement industry, methods based on threshold filtering and minimum spanning tree were employed to derive a set of sub-graphs having temporally stable high-correlation structure over this ten years period. Public Library of Science 2016-11-15 /pmc/articles/PMC5113066/ /pubmed/27846251 http://dx.doi.org/10.1371/journal.pone.0166087 Text en © 2016 Bhattacharjee et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Bhattacharjee, Biplab
Shafi, Muhammad
Acharjee, Animesh
Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title_full Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title_fullStr Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title_full_unstemmed Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title_short Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study
title_sort investigating the influence relationship models for stocks in indian equity market: a weighted network modelling study
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5113066/
https://www.ncbi.nlm.nih.gov/pubmed/27846251
http://dx.doi.org/10.1371/journal.pone.0166087
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