文章基本信息

标题：Financial fluctuations anchored to economic fundamentals: A mesoscopic network approach
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作者：Kiran Sharma ; Balagopal Gopalakrishnan ; Anindya S. Chakrabarti 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2017
卷号：7
期号：1
DOI：10.1038/s41598-017-07758-9
语种：English
出版社：Springer Nature
摘要：We demonstrate the existence of an empirical linkage between nominal financial networks and the underlying economic fundamentals, across countries. We construct the nominal return correlation networks from daily data to encapsulate sector-level dynamics and infer the relative importance of the sectors in the nominal network through measures of centrality and clustering algorithms. Eigenvector centrality robustly identifies the backbone of the minimum spanning tree defined on the return networks as well as the primary cluster in the multidimensional scaling map. We show that the sectors that are relatively large in size, defined with three metrics, viz., market capitalization, revenue and number of employees, constitute the core of the return networks, whereas the periphery is mostly populated by relatively smaller sectors. Therefore, sector-level nominal return dynamics are anchored to the real size effect, which ultimately shapes the optimal portfolios for risk management. Our results are reasonably robust across 27 countries of varying degrees of prosperity and across periods of market turbulence (2008-09) as well as periods of relative calmness (2012-13 and 2015-16).