A NEW INDEX FOR REFLECTION OF STOCK MARKET BEHAVIOR USING BY COMPLEX NETWORK ANALYSIS APPROACH

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ESMAEILPOUR MOGHADAM HADI; MOHAMMADI TEIMOUR; FEGHHI KASHANI MOHAMMAD; SHAKERI ABBAS

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Journal: Financial Economics Year:2019 | Volume:13 | Issue:46 Page(s): 25-39

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Title

A NEW INDEX FOR REFLECTION OF STOCK MARKET BEHAVIOR USING BY COMPLEX NETWORK ANALYSIS APPROACH

Author(s)

ESMAEILPOUR MOGHADAM HADI | MOHAMMADI TEIMOUR | FEGHHI KASHANI MOHAMMAD | SHAKERI ABBAS | Issue Writer Certificate

Keywords

STOCK MARKETQ2

COMPLEX NETWORKSQ1

DEGREE DISTRIBUTIONQ1

STOCK INDEX JEL CLASSIFICATION:D53Q1

G11Q1

G20Q1

Abstract

The indices of STOCK MARKET are one of the most important factors affecting the decisions of investors in financial markets. Most investors in the Tehran Stock Exchange pay attention to TEIPX index, which includes all companies is listed to the stock exchange. This study introduces a new index using a complex network method. COMPLEX NETWORKS provide price correlation in STOCK MARKET and thus creating a better understanding of market performance for investors. In this study, the STOCK MARKET network with data from 246 stocks of Tehran Stock Exchange during the first trading day of March 2016 to the last trading day of March 2017 was created, in which the WTA approach was used to connect two nodes or stocks. The results of the DEGREE DISTRIBUTION of the STOCK MARKET network indicate that the STOCK MARKET network of Tehran Stock Exchange is a scalefree network, which clearly shows that STOCK MARKET price changes are highly influenced by a relatively small number of stocks. Hence, by using the COMPLEX NETWORKS analysis in STOCK MARKET, a new index based on the degree and the inclusion of selected stocks is presented and compared with the TEPIX index. According to the results, the new index has a significant correlation with the TEPIX index and can reflect well STOCK MARKET behavior.

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APA: Copy

ESMAEILPOUR MOGHADAM, HADI, MOHAMMADI, TEIMOUR, FEGHHI KASHANI, MOHAMMAD, & SHAKERI, ABBAS. (2019). A NEW INDEX FOR REFLECTION OF STOCK MARKET BEHAVIOR USING BY COMPLEX NETWORK ANALYSIS APPROACH. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(46 ), 25-39. SID. https://sid.ir/paper/229200/en

Vancouver: Copy

ESMAEILPOUR MOGHADAM HADI, MOHAMMADI TEIMOUR, FEGHHI KASHANI MOHAMMAD, SHAKERI ABBAS. A NEW INDEX FOR REFLECTION OF STOCK MARKET BEHAVIOR USING BY COMPLEX NETWORK ANALYSIS APPROACH. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;13(46 ):25-39. Available from: https://sid.ir/paper/229200/en

IEEE: Copy

HADI ESMAEILPOUR MOGHADAM, TEIMOUR MOHAMMADI, MOHAMMAD FEGHHI KASHANI, and ABBAS SHAKERI, “A NEW INDEX FOR REFLECTION OF STOCK MARKET BEHAVIOR USING BY COMPLEX NETWORK ANALYSIS APPROACH,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 46 , pp. 25–39, 2019, [Online]. Available: https://sid.ir/paper/229200/en

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