Pillanatkép a Budapesti Értéktőzsde tulajdonviszonyainak hálózatáról

Szerzői információk:

Gosztonyi Márton: Budapesti Gazdasági Egyetem – Budapest LAB vállalkozásfejlesztési központ, tudományos munkatárs. E-mail: gosztonyi.marton@uni-bge.hu

Hivatkozás (APA):

Gosztonyi, M. (2021). Pillanatkép a Budapesti Értéktőzsde tulajdonviszonyainak hálózatáról. Hitelintézeti Szemle, 20(3), 31–58. https://doi.org/10.25201/HSZ.20.3.3158

Rovat:

Tanulmány

Journal of Economic Literature (JEL) kódok:

H54, D53, L14

Kulcsszavak:

Budapesti Értéktőzsde, komplex rendszerek, hálózatelemzés, cégtulajdonlás

Felhasznált irodalom:

Atmanspacher, H. – Kurths, J. – Scheingraber, H. – Wackerbauer, R. – Witt, A. (1992): Complexity and meaning in nonlinear dynamical systems. Open Systems & Information Dynamics, 1(2): 269–289. https://doi.org/10.1007/BF02228949

Babu, R.R. – Kumar, S.U. (2003): Network Approach to Capture Co-movements of Global Stock Returns. Indian Institute of Management Calcutta, Working Paper, WPS. 676: 12–44.

Barabási, A.L. – Albert, R. (1999): Emergence of Scaling in Random Networks. Science, 286(5439): 509–512. https://doi.org/10.1126/science.286.5439.509

Borgatti, SP. – Foster, PC. (2003): The Network Paradigm in Organizational Research: A Review and Typology. Journal of Management, 29(6): 991–1013. https://doi.org/10.1016/S0149-2063(03)00087-4

Boginski, V. – Butenko, S. – Pardalos, P.M. (2005): Statistical analysis of financial networks. Computational statistics & data analysis, 48(2): 431–443. https://doi.org/10.1016/j.csda.2004.02.004

Boginski, V. – Butenko, S. – Pardalos, P.M. (2006): Mining market data: A network approach. Computers & Operations Research, 33(11): 3171–3184. https://doi.org/10.1016/j.cor.2005.01.027

Cont, R. (2001): Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, 1(2): 223–236. https://doi.org/10.1080/713665670

Chatterjee, S. – Diaconis, P. (2013): Estimating and understanding exponential random graph models. The Annals of Statistics, 41(5): 2428–2461. https://doi.org/10.1214/13-AOS1155

Chapelle, A. – Szafarz, A. (2005): Control consolidation with a threshold: an algorithm. IMA Journal of Management Mathematics, 18(3): 235–243. https://doi.org/10.1093/imaman/dpl016

Dimitrios, K. – Vasileios, O. (2015): A Network Analysis of the Greek Stock Market. Procedia Economics and Finance, 33: 340–349. https://doi.org/10.1016/S2212-5671(15)01718-9

Drożdż, S. – Grümmer, F. – Ruf, F. – Speth, J. (2001): Towards identifying the world stock market cross-correlations: DAX versus Dow Jones. Physica A: Statistical Mechanics and its Applications, 294(1–2): 226–234. https://doi.org/10.1016/S0378-4371(01)00119-4

Erdős, P. – Rényi, A. (1960): On the Evolution of Random Graphs. Publication of Mathematical Institute of the Hungarian Academy Sciences, 5(1): 17–60.

Frank, O. – Strauss, D. (1986): Markov Graphs. Journal of the American Statistical Association, 81: 832–842. https://doi.org/10.1080/01621459.1986.10478342

Forbes, K.J. – Rigobon, R. (2002): No Contagion, Only Interdependence: Measuring Stock Market Movements. The Journal of Finance, 57(5): 2223–2261. https://doi.org/10.1111/0022-1082.00494

Garlaschelli, D. – Den Hollander, F. – Roccaverde, A. (2016): Ensemble nonequivalence in random graphs with modular structure. Journal of Physics A: Mathematical and Theoretical, 50(1), 015001. https://doi.org/10.1088/1751-8113/50/1/015001

Huang, W.Q. – Zhuang, X.T. – Yao, S. (2009): A network analysis of the Chinese stock market. Physica A: Statistical Mechanics and its Applications, 388(14): 2956–2964. https://doi.org/10.1016/j.physa.2009.03.028

Kazemilari, M. – Djauhari, M.A. (2015): Correlation network analysis for multi-dimensional data in stocks market. Physica A: Statistical Mechanics and its Applications, 429(1): 62–75. https://doi.org/10.1016/j.physa.2015.02.052

Khodami, P.A. – Bazraie, Y. (2013): Investigation on the Relationship between Product Market Competition with Board Structure and Disclosure Quality. Journal of Accounting Knowledge, 4(14): 51–66.

Khorshidvand, F. – Sarlak, A. (2017): Examining the Relationship between Corporate Governance and the Corporate Performance Valuation. Advances in Mathematical Finance and Applications, 2(3): 29–39. https://doi.org/10.22034/AMFA.2017.533097

Kim, K. – Kim, S.Y. – Ha, D.H. (2007): Characteristics of networks in financial markets. Computer physics communications, 177(1–2): 184–185. https://doi.org/10.1016/j.cpc.2007.02.037

Lee, G.S. – Djauhari, M.A. (2012): Stock Networks Analysis in Kuala Lumpur Stock Exchange. Malaysian Journal of Fundamental and Applied Sciences, 8(2): 45–61. https://doi.org/10.11113/mjfas.v8n2.124

Lusher, D. – Koskinen, J. – Robins, G. (Eds.) (2013): Exponential Random Graph Models for Social Networks: Theory, Methods, and Applications (Vol. 35). Cambridge University Press. https://doi.org/10.1017/CBO9780511894701

Mahdavi Ardekani, A. – Distinguin, I. – Tarazi, A. (2019): Interbank Network Characteristics, Monetary Policy ‘News’ and Sensitivity of Bank Stock Returns. Monetary Policy ‘News’ and Sensitivity of Bank Stock Return https://doi.org/10.2139/ssrn.3520689

Mantegna, R.N. (1999): Hierarchical structure in financial markets. The European Physical Journal B Condensed Matter and Complex Systems, 11(1): 193–197. https://doi.org/10.1007/s100510050929

McDonald, M. – Suleman, O. – Williams, S. – Howison, S. – Johnson, N.F. (2005): Detecting a currency’s dominance or dependence using foreign exchange network trees. Physical Review, 72(4): 106–121. https://doi.org/10.1103/PhysRevE.72.046106

Mehra, R. – Prescott, E.C. (1985): The equity premium: A puzzle. Journal of Monetary Economics, 15(2): 145–161. https://doi.org/10.1016/0304-3932(85)90061-3

Moghaddam, A.H. – Moghaddam, M.H. – Esfandyari, M. (2016): Stock market index prediction using artificial neural network. Journal of Economics, Finance and Administrative Science, 21(41): 89–93. https://doi.org/10.1016/j.jefas.2016.07.002

Münnix, M.C. – Schäfer, R. – Guhr, T. (2010): Impact of the tick-size on financial returns and correlations. Physica A: Statistical Mechanics and its Applications, 389(21): 4828–4843. https://doi.org/10.1016/j.physa.2010.06.037

Newman, M. – Barabasi, A.L. – Watts, D.J. (2006): The Structure and Dynamics of Networks. Princeton Studies in Complexity. Princeton University Press, Princeton.

Onnela, J.P. – Chakraborti, A. – Kaski, K. – Kertész, J. – Kanto, A. (2003): Dynamics of market correlations: Taxonomy and portfolio analysis. Physical Review, 68(5): 56–110. https://doi.org/10.1103/PhysRevE.68.056110

Pan, R. – Sinha, S. (2007): Collective behavior of stock price movements in an emerging market. Physical Review E, 76(4): 33–55. https://doi.org/10.1103/PhysRevE.76.046116

Paparrizos, K. (2003): Network Programming. Thessaloniki: University of Macedonia.

Peng, M.W. – Mutlu, C.C. – Sauerwald, S. – Au, K.Y. – Wang, Y.L. (2015): Board interlocks and corporate performance among firms listed abroad. Journal of Management History, 21(2): 257–282. https://doi.org/10.1108/JMH-08-2014-0132

Raddant, M. – Kenett, D.Y. (2021): Interconnectedness in the global financial market. Journal of International Money and Finance, 110(3): 77–91. https://doi.org/10.1016/j.jimonfin.2020.102280

Rezaee, M.J. – Jozmaleki, M. – Valipour, M. (2018): Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange. Physica A: Statistical Mechanics and its Applications, 489: 78–93. https://doi.org/10.1016/j.physa.2017.07.017

Rinaldo, A. – Fienberg, S.E. – Zhou, Y. (2009): On the geometry of discrete exponential families with application to exponential random graph models. Electronic Journal of Statistics, 3: 446–484. https://doi.org/10.1214/08-EJS350

Robins, G. – Snijders, T. – Wang, P. – Handcock, M. – Pattison, P. (2007): Recent developments in exponential random graph (p*) models for social networks. Social networks, 29(2): 192–215. https://doi.org/10.1016/j.socnet.2006.08.003

Rotundo, G. – D’Arcangelis, A.M. (2010): Ownership and control in shareholding networks. Journal of Economic Interaction and Coordination, 5(2): 191–219. https://doi.org/10.1007/s11403-010-0068-4

Roy, B.R. – Sarkar, U.K. (2011): Identifying influential stock indices from global stock markets: A social network analysis approach. Procedia Computer Science, 5: 442–449. https://doi.org/10.1016/j.procs.2011.07.057

Salvemini, M.T. – Simeone, B. – Succi, R. (1995): A Graph-theoretic Model of Integrated Ownership in Business Groups. Università di Roma La Sapienza, Dipartimento di scienze economiche.

Sankowska, A. – Siudak, D. (2016): The small world phenomenon and assortative mixing in Polish corporate board and director networks, Physica A: Statistical Mechanics and its Applications, 443: 309–315. https://doi.org/10.1016/j.physa.2015.09.058

Schmidt, T.D. (2020): Statistical Analysis of Social Network Change. Doctoral dissertation, Portland State University. https://pdxscholar.library.pdx.edu/open_access_etds/5415/. Letöltés ideje: 2020. október 9.

Singh, D. – Delios, A. (2017): Corporate governance, board networks and growth in domestic and international markets: Evidence from India. Journal of World Business, 52(5): 615–627. https://doi.org/10.1016/j.jwb.2017.02.002

Snijders, T.A.B. – Pattison, P.E. – Robins, G.L. – Handcock, M.S. (2006): New Specifications for Exponential Random Graph Models. Sociological Methodology, 36: 99–153. https://doi.org/10.1111/j.1467-9531.2006.00176.x

Tabak, B.M. – Takami, M.Y. – Cajueiro, D.O. – Petitinga, A. (2009): Quantifying price fluctuations in the Brazilian stock market. Physica A: Statistical Mechanics and its Applications, 388(1): 59–62. https://doi.org/10.1016/j.physa.2008.09.028

Taghizadeha, R. – Nazemi, A. – Maharluieb, M.S. (2020): Network Analysis of Interpersonal Relationships in Tehran Stock Exchange. Advances in Mathematical Finance and Applications, 34(3): 54–72.

Wang, P. – Robinson, G. – Pattison, P. – Koskinen, J. (2009): MPNet: program for the simulation and estimation of exponential random graph models. Melbourne School of Psychological Sciences, The University of Melbourne.

Wasserman, S. – Faust, K. (2010): Social Network Analysis: Methods and Applications. Structural Analysis in the Social Sciences, 2nd ed., Cambridge Univ. Press, Cambridge.

Watts, D.J. – Strogatz, S.H. (1998): Collective dynamics of “small-world” networks. Nature, 393(6684): 440–442. https://doi.org/10.1038/30918

Watts, D.J. (1999): Networks, Dynamics, and the Small-World Phenomenon. American Journal of Sociology, 105(2): 493–527. https://doi.org/10.1086/210318

You, T. – Fiedor, P. – Hołda, A. (2015): Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. Journal of Risk and Financial Management, 8(2): 266–284. https://doi.org/10.3390/jrfm8020266