An Empirical Test for Possible Deterministic Factors of Stock Network
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본 연구는 MST방법에 의하여 도출된 주식간 연결네트웍에서 특정주식이 다른 주식과 갖는 연결개수에 영향을 미칠 수 있는 가능한 요인을 실증적으로 관찰하고자 하는 연구시도로, 재무분야에서 널리 인정되고 있는 재정가격결정모형에서 언급되는 복수의 공통요인들 중에서 대표적인 시장지수(market index)에서 그 가능요인을 찾고자 하였다. 관찰된 검증결과에 의하면, Mantegna에 의하여 제안된 MST방법으로 도출된 주식간 연결네트웍에서 다른 주식들과 많은 연결개수를 갖는 개별주식들은 상대적으로 작은 연결개수를 갖는 개별주식들에 비하여 평균적으로 시장지수에 관련된 부분을 많이 포함하고 있다는 것이다. 이러한 관찰결과에서, MST방법에 의하여 도출된 주식간 연결네트웍의 위상학적 속성은 연결개수의 빈도분포에 있어서 Power law를 따르며, 개별주식이 다른 주식과 갖는 연결개수는 시장의 공통요인인 시장지수에 의미 있는 영향을 받는다는 것을 나타낸다.
Abstract
We examine possible factors that can affect the links of a specific stock with other stocks in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P 500 and KOSPI. Among the common factors mentioned in the arbitrage pricing model (APT), widely acknowledged in the financial field, a representative market index is established as a possible factor. What we have found is a topological feature where the degree distribution in the network between stocks obtained by the MST method follows a power-law distribution. Furthermore, in the degree distribution, the number of connections that a specific stock has with other stocks is closely related to the market index. This means that stocks closely related to the market index are likely to be located around the center of the network between stocks, but those poorly related to the market index are likely to be placed in the outskirt.
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