A Typology of Financial Networks According to Their Typological ‎Characteristics (A Study of Tehran Stock Exchange)‎

Subject Areas : Financial engineering

Majid  Montasheri ¹ (Department of Accounting and Finance, Faculty of Management . Yazd University, yazd, iran)
Hojjatollah  Sadeqi ² (Department of Finance and Accounting, Faculty of Management , Yazd University, yazd, iran.)

Received: 2020-04-23 Accepted : 2020-05-16 Published : 2020-12-21

Keywords: Minimum Spanning Tree, Financial network, Centrality measures‎,

Abstract :

The purpose of this study is ‎to establish and introduce a new financial network and to examine centrality ‎measures for optimizing the portfolio of investors as well as identifying ‎stock market leaders. In this study, 100 top stock companies with largest ‎average market capitalization were selected from January 2009 to January ‎‎2020. The financial network was converted to logarithmic returns using ‎adjusted closing price. The concepts of graph theory and prim algorithm ‎were used to explore the relationships and distances between stocks to ‎construct a minimum spanning tree. The results showed that based on the ‎degree centrality measure, Iranian telecommunication stocks and Ayandeh ‎Bank, based on closeness centrality measure, Bahman investment stocks, ‎Omid capital financing and tourism bank, based on Betweenness centrality ‎measure, Omid capital financing stocks, Bahman investment and Asia ‎insurance, based on the bottleneck centrality measure, Asian Insurance ‎stocks, Tourism Bank and Omid Capital has the most impact on the financial ‎network and stock market. Finally, the financial network was divided into 9 ‎clusters, each cluster showing the stronger relationship of its components ‎with each other. ‎

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