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A minimum spanning tree analysis of the Polish stock market

100%
Tomeczek A. F.
Journal of Economics and Management
|
2022
|
vol. 44
EN
Aim/purpose - This article aims to explore the network topology of the stock market in Poland during the COVID-19 pandemic. Design/methodology/approach - Kruskal's algorithm was used to find the minimum spanning trees (MST) of three undirected correlation networks: MST1 (December 2019 - August 2021), MST2 (February 2020 - April 2020), and MST3 (June 2021 - August 2021). There were123 firms included in all three networks representing three key indexes (WIG20, mWIG40, and sWIG80). Findings - The comovements of stock prices varied between various periods of the pandemic. The most central firms in Poland were PEO, UNT, SPL, PKO, KGH, CCC, and PZU. WIG20 was the most influential stock index for all networks. During the turbulent period represented by MST2, many of Poland's largest companies have clustered around KGH at the center of the network. In contrast, MST3 is the least compact of the three networks and is characterized by the absence of a single strongly influential node. Research implications/limitations - Correlation networks are efficient at quantitatively describing the degree of interdependence of a stock. MST finding algorithms are a crucial method of analysis for correlation networks. However, a limitation of the study, inherent to undirected correlation networks, is the inability to determine the direction of influence that stocks have on each other. Originality/value/contribution - The results of the article contribute to the economic analysis of stock markets in several ways. First, it expands on Gałązka (2011) by including additional centralities and the dynamic aspect of changes in the topology during the COVID-19 pandemic. Second, it broadens the MST-based empirical research of stock markets by showing the emergence of the star topology during the period of high uncertainty in Poland. Third, it has practical applications for systemic risk assessment and portfolio diversification.
2
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A financial network analysis of the equity linkages in Poland

100%
Tomeczek A. F.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
|
2021
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vol. 65
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issue 4
129-143
PL
Celem artykułu jest zbadanie sieci finansowych powiązań kapitałowych i krzyżowych pomiędzy firmami notowanymi na giełdzie w Polsce (WIG20 i mWIG40) oraz analiza zmian, które zaszły w strukturze własnościowej banków w wyniku pandemii COVID-19. Przegląd literatury pozwala na wyszczególnienie czterech głównych typów sieci finansowych: powiązań krzyżowych, korelacji, długu oraz przyczynowości Grangera. Skonstruowane zostały cztery kierunkowe sieci finansowe powiązań kapitałowych. Dwa kluczowe mierniki zastosowane w niniejszym badaniu to PageRank (ekspozycja na ryzyko i znaczenie sieciowe) oraz modularność (wykrywanie społeczności).
EN
This article aimed to examine the financial networks of equity linkages and cross-shareholdings between publicly listed companies in Poland (WIG20 and mWIG40) and to explore the changes that occurred in bank ownership because of the COVID-19 pandemic. The literature review revealed four main types of financial networks: cross-shareholding, correlation, debt, and Granger-causality. Four equity-based directed financial networks were constructed. The two key network measures used in this research are PageRank (risk exposure and network importance) and modularity class (community detection).
3
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PageRank and Regression as a Two-Step Approach to Analysing a Network of Nasdaq Firms During a Recession: Insights from Minimum Spanning Tree Topology

63%
Tomeczek A. F., Napiórkowski T. M.
Gospodarka Narodowa. The Polish Journal of Economics
|
2024
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vol. 319
|
issue 3
56-69
PL
Występowanie wpływowych firm oddziałujących na cały rynek akcji zostało potwierdzone w wielu badaniach bazujących na topologii minimalnych drzew rozpinających. Historycznie, centralne firmy były identyfikowane przede wszystkich na podstawie centralności stopniowej wierzchołków. Niniejszy artykuł przedstawia alternatywną metodę selekcji, stanowiącą połączenie wyników PageRank i klas modularności, która pozwala wyeliminować remisy w rankingach podczas selekcji określonej liczby wierzchołków. Wykorzystano analizę sieciową na podstawie centralności PageRank połączoną z analizą regresji, aby zidentyfikować wpływowe firmy w indeksie Nasdaq-100 podczas trzech ostatnich recesji w Stanach Zjednoczonych. Wykazano zasadność oraz odporność zaproponowanego dwuetapowego podejścia łączącego minimalne drzewa rozpinające z autorską metodą selekcji, które tłumaczy ponad 90% dynamiki indeksu Nasdaq-100. Analiza zidentyfikowała istotne zmiany w topologii podczas globalnego kryzysu finansowego (rola CSCO jako firmy centralnej) oraz pandemii COVID-19 (wspólne ruchy akcji).
EN
The presence of focal firms driving entire stock markets has been proven by a series of existing studies that relied on the topological properties of minimum spanning trees. Historically, central firms have been identified primarily based on the degree centrality of nodes. This article proposes an alternative selection method, combining PageRank scores and modularity classes, which does away with the problem of ties in rankings when selecting a specific number of nodes. We use PageRank-based network analysis along with regression analysis to identify focal firms in the Nasdaq-100 index during the three most significant recent recessions in the United States. This approach validates and robustly supports our two-step method, showing that the combination of minimum spanning trees and our selection method explains over 90% of the Nasdaq-100 index’s dynamics. The analysis identified significant topological changes during the global financial crisis (with CSCO emerging as the star firm) and the COVID-19 pandemic (exhibiting strong market co-movements).
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