TY - JOUR
T1 - Market Moods and Network Dynamics of Stock Returns
T2 - The Bipolar Behavior
AU - Irannezhad Ajirlou, Ali
AU - Esmalifalak, Hamidreza
AU - Esmalifalak, Maryam
AU - Pordeli Behrouz, Sahar
AU - Soltanalizadeh, Farid
PY - 2019
Y1 - 2019
N2 - The authors show that a simple mood-separable preference in a network study of stock returns captures a variety of stylized facts regarding stocks’ provisional (ab)normal behavior. These behaviors are articulated in a multistate complete Euclidean network model that specifies the existence, direction, and magnitude of a self-organized dynamics for each individual stock during abnormal market moods. In the empirical setting, the authors apply suggested model along with 2 established visual approaches (multidimensional scaling and agglomerative hierarchical clustering) for benchmark purposes. Results reveal different levels of erratic return dynamics for each stock and the entire market in different abnormal market moods. The authors model and interpret these self-organized dynamics as evidence of stocks’ and market’s bipolar behavior.
AB - The authors show that a simple mood-separable preference in a network study of stock returns captures a variety of stylized facts regarding stocks’ provisional (ab)normal behavior. These behaviors are articulated in a multistate complete Euclidean network model that specifies the existence, direction, and magnitude of a self-organized dynamics for each individual stock during abnormal market moods. In the empirical setting, the authors apply suggested model along with 2 established visual approaches (multidimensional scaling and agglomerative hierarchical clustering) for benchmark purposes. Results reveal different levels of erratic return dynamics for each stock and the entire market in different abnormal market moods. The authors model and interpret these self-organized dynamics as evidence of stocks’ and market’s bipolar behavior.
KW - Alpha measure
KW - Complete Euclidean network
KW - Market’s bipolar behavior
KW - Stocks’ bipolar behavior
UR - http://www.scopus.com/inward/record.url?scp=85060577071&partnerID=8YFLogxK
U2 - 10.1080/15427560.2018.1508022
DO - 10.1080/15427560.2018.1508022
M3 - Article
AN - SCOPUS:85060577071
SN - 1542-7560
VL - 20
SP - 239
EP - 254
JO - Journal of Behavioral Finance
JF - Journal of Behavioral Finance
IS - 2
ER -