Network Analysis of Tehran Stock Exchange using Minimum Spanning Tree and Hierarchical Clustering
محل انتشار: مجله مالی ایران، دوره: 4، شماره: 2
سال انتشار: 1399
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 246
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شناسه ملی سند علمی:
JR_IJFIFSA-4-2_001
تاریخ نمایه سازی: 24 فروردین 1401
چکیده مقاله:
Nowadays, financial markets in Iran have attracted the attention of many managers, investors and financial policymakers. Therefore, in order to make the optimal decision and reduce the risks in such a market, it is important to identify and analyze the network behavior of the financial markets at different times to obtain the optimal decision. The current study aims to answer the following research question; how is it possible to use the minimum spanning tree and hierarchical clustering in the network analysis of the Tehran Stock Exchange? The period examined was ۲۰۱۳ to ۲۰۱۸. The population consisted of all the companies accepted in Tehran Stock Exchange. The sampling was selected purposefully and contained the companies which had at least one trading day in the time span from the beginning of ۲۰۱۳ to the end of ۲۰۱۸. The stock of the investigated companies was considered as the vertexes of one graph and the coherent information criterion was considered as the weight of the edge. First, the minimum spanning tree of the graph was calculated. The results revealed that the stocks of DarooAbuReihan, DarooPakhsh and Alborzdaroo had a high influence on directing the prices of the other stocks. Furthermore, the results of hierarchical clustering classified the stocks of the companies into ۸ clusters. This study presents a viewpoint about the modern method designed for the analysis of complex financial networks. Moreover, the study offers an analysis of Iran's stock market structure which can be the center of finance researchers and analysts' attention.
کلیدواژه ها:
نویسندگان
Salman Abbasian-Naghneh
Associate Prof., Department of Financial Management, Masjed-Soleiman Branch, Islamic Azad University, Masjed-Soleiman, Iran.
Reza Tehrani
Prof., Faculty of Management, University of Tehran, Tehran, Iran.
Mohammad Tamimi
Associate Prof.,Department ofAccounting, Dezful Branch, Islamic Azad University, Dezful, Iran.
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