Network Analysis of Stock Prices Case Study: Listed Pharmaceutical Companies in the OTC and Stock Market of Iran
Subject Areas : Journal of Investment Knowledge
Reza Taghizadeh
1
(Lecturer of Accounting, Yazd University)
Amin Nazemi
2
(Assistant Prof. of Accounting, Shiraz University)
Keywords: Stock Price, Network analysis, Listed Pharmaceutical Companie,
Abstract :
The analysis of stock market is a crucial factor in predicting future events. Network analysis is one of the newest method in analyzing of stock market. In quantitative science literature, network analysis is a new concept for a macro view to whole market. Quantifying the relationship between different stock market is a favorite issue for scientific studies in comprehension of complex systems. This kind of quantifying is done based on the volatility of stock price and their impact on each other. Therefore, this study aims to analyze the correlation of network analysis of pharmaceutical companies in the OTC and stock market in Iran from 2011 to 2016. This study is among the network analysis of quantitative research based on data gathering. Data was analyzed thorough network analysis with the use of SPSS and UCINET. The findings show that in levels of %75 and %80 correlation the Iran Daru and Tolid Daru corporations have the highest degree, and play as a center of network in stock price respectively. In %95 level, only Iran Daru with Tolid Daru and Razak Daru with Tamin Daru investment have relationship and other corporations in this level are isolated. In fact, the results of investigating the stock price network in the %75 to %95 correlation show that the considered network does not have density and consideration and by increasing the correlation, the network entropy raise up and in turn increase the concerns. For investors who are trying to reduce the risk of their portfolio, increase in entropy leads to increase in the risk of their investment.
* خواجوی، شکراله؛ صادقزاده مهارلویی، محمد؛ رضا تقیزاده، (1392)، "سیستمهای اطلاعاتی حسابداری و تحلیل شبکههای اجتماعی"، مطالعات حسابداری و حسابرسی، سال 2، شماره 7، صص 48-59.
* راعی، رضا؛ جعفری، غلامرضا؛ علی نمکی، (1389)، "تحلیل بازار بورس اوراق بهادار تهران با استفاده از شبکههای پیچیده مبتنی بر روش حد آستانه"، فصلنامه علمی-پژوهشی بررسیهای حسابداری و حسابرسی، شماره، 17 (62)، صص 33-48.
* راعی، رضا؛ حسینی، سید فرهنگ؛ مائده کیانی هرچگانی، (1395)، "بررسی توانایی نظرات کاربران شبکههای اجتماعی بر پیشبینی جهت و قیمت سهام در بورس اوراق بهادار تهران"، فصلنامه علمی-پژوهشی دانش سرمایهگذاری، شماره، 5 (19)، صص 107-127.
* ریتزر، جورج، (1382)، "نظریه جامعهشناسی در دوران معاصر"، مترجم: محسن ثلاثی. تهران: علمی. چاپ هفتم.
* عبدالخلیق، رشاد و بیپین ب. آجین کیا، (1389)، "پژوهشهای تجربی در حسابداری: دیدگاه روششناختی"، مترجم: محمد نمازی. چاپ دوم، شیراز: انتشارات دانشگاه شیراز.
* میرزایی، خلیل، (1388)، "پژوهش، پژوهشگری و پژوهشنامهنویسی"، انتشارات جامعهشناسان، ج 2، تهران.
* وکیلیفرد، حمیدرضا؛ فروغنژاد، حیدر؛ مهدی خوشنود، (1392)، "ارزیابی رفتار سرمایهگذاران در بورس اوراق بهادار تهران با روش فرایند تحلیل شبکهای"، فصلنامه مدیریت دارایی و تأمین مالی، سال اول، شماره 2، صص 19-34.
* Boginski, V., Butenko, S., P.M, Pardalos (2005). “Statistical Analysis of Financial Networks” Computational Statistics & Data Analysis, Vol. 48, pp. 431-443.
* Boginski, V., Butenko, S., P.M, Pardalos (2006). “Mining Market Data: A Network Approach” Computers & Operations Research, Vol. 33, pp. 3171–3184.
* De Nooy, W., Mrvar, A., and Batagelj, V. (2005). Exploratory Social Network Analysis with Pajek, Structural Analysis in the Social Sciences, Cambridge: Cambridge University Press, 1th Ed.
* Edwards, G. (2010). “Mixed-Method Approaches to Social Network Analysis” National Centre for Research Methods, ESRC National Centre for Research Methods Review paper.
* Freeman, L.C. (2004). The Development of Social Network Analysis: A Study in the Sociology of Science, Publisher: BookSurge, LLC, North Charleston, South Carolina, Printed in the United States of America.
* Garton, L., Haythornthwaite C. and B. Wellman. (1999). Studying On-line Social Networks, In: Jones S, Editor. Doing Internet Research: Critical Issues and Methods for Examining the Net. Thousand Oaks, CA: Sage. pp. 75–105.
* Glattfelder, J. B. (2010). “Ownership Networks and Corporate Control: Mapping Economic Power in a Globalized World” PhD Thesis. ETH ZURICH University.
* Huang, W.-Q., Zhuang, X.-T., S, Yao (2009). “A Network Analysis of the Chinese Stock Market” Physica A, Vol. 388, pp. 2956-2964.
* Mantegna, R.N. (1999). “Hierarchical Structure in Financial Markets” The European Physical Journal, Vol. 11, pp. 193-197.
* Ostrom, E. (1990). Governing the Commons: The Evolution of Institutions for Collective action, Cambridge: Cambridge University, 1th Ed.
* Rotundo, G., A. M, D’Arcangelis (2010) “Ownership and Control in Shareholding Networks” Journal of Economic Interaction and Coordination, Vol. 5 (2), pp. 191–219.
* Scott, J. (2000). “Social Network Analysis: A Handbook” (2nd ed.). London: Sage Publications.
* Scott, W. R. (2003). “Financial Accounting Theory.”. Pearson Education Canada Inc, Third edition.
* Souma, W., Aoyama, H., Fujiwara, Y., Ikeda, Y., Iyetomi, H., T. Kaizoji (2006) “Correlation in business networks” In Physica A: Statistical Mechanics and its Applications, Vol. 370 (1), pp. 151–155.
* Tse, C.K., Liu, J., Lau, F.C.M. (2010) “A Network Perspective of the Stock Market” Journal of Empirical Finance, Vol. 17(2), pp. 659-667.
* Wasserman, S., & Faust, K. (1994). “Social Network Analysis: Methods and Applications”, Cambridge: Cambridge University Press, 2th Ed.
* Wolk, H. I.; Dodd, J. L. and M. G. Tearney (2004). “Accounting Theory, Conceptual Issues in a Political and Economic Environment.” THOMSON, SOUTH-WESTERN, Sixth Edition.
* Wu, S., Tuo, M., D, Xiong (2015) “Network Structure Detection and Analysis of Shanghai Stock Marke” Journal of Industrial Engineering and Management. Vol. 8 (2), pp. 383–398.
* Zhu, B., Watts, S. and H. Chen. (2010). “Visualizing Social Network Concepts” Decision Support Systems, Vol. 49, pp. 151.161.
_||_