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Dynamics of investor spanning trees around dot-com bubble

Research output: Contribution to journalArticleScientificpeer-review


Original languageEnglish
Article numbere0198807
JournalPLoS ONE
Issue number6
Publication statusPublished - Jun 2018
Publication typeA1 Journal article-refereed


We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. The analysis is conducted separately for households, financial, and non-financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had a clear upward tendency in the bull markets when the bubble was building up, and, even more importantly, the minimum spanning tree measures pre-reacted the burst of the bubble. At the same time, we find less clear reactions in the minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggests that household investors can have a greater herding tendency around bubbles.

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Field of science, Statistics Finland

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