Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 26, 2019 erstellt
Description:
We define and study a correlation based notion of equity market centrality. This is pursued by examining the minimum spanning tree of a complete market graph that represents trading pattern similarities between the members of indices of equity securities. Specifically, we consider the degree centrality of the minimal spanning tree extracted from the complete market graph, and we compare and contrast this measure of centrality with the average pairwise correlation between members of an equity index. In addition, we perform numerical experiments on United States equity indices of varying size in addition to several major international equity markets. We highlight differences between the interpretation of this centrality measure for small and large market networks