Black Swan events in the financial market: A network approach

The data set consists of 483 stocks that were continuously traded on the S&P 500 Index in the period from June 28, 2016 to August 9, 2023, and each stock has 1,791 data points of the daily closing price adjusted for splits and dividends. Sample data are separated into two subsets: the stabilization period before the market crash and the market disruption period during the COVID-19 pandemic and the Russian-Ukrainian war. The cut-off point for the separation of the two sub-periods was set on January 20, 2020. Therefore, the stabilization period is defined between June 29, 2016 and January 17, 2020; the market disruption period is set between January 21, 2020 and August 09, 2023. The split between the two periods is equal, with 895 time series in each period (approximately 3.5 years). Companies are classified into 11 economic sectors according to the classification of Yahoo Finance. These historical data were collected from Yahoo Finance (https://finance.yahoo.com; accessed on 10.09.2023). The data set contains two matrices of cross-correlation networks of stock returns, based on the minimal spanning tree approach for the aforementioned time periods.

本数据集包含483支曾于2016年6月28日至2023年8月9日期间在标普500指数(S&P 500 Index)持续挂牌交易的个股，每支个股均配有1791条经拆股与股息调整后的日收盘价数据。研究样本被划分为两个子集：市场崩盘前的平稳期，以及新冠疫情与俄乌战争期间的市场扰动期。两个子时段的划分截断点设定为2020年1月20日，据此，平稳期定义为2016年6月29日至2020年1月17日，市场扰动期则为2020年1月21日至2023年8月9日。两个时段的样本量完全均等，每个时段均包含895条时间序列，对应时长约3.5年。依据雅虎财经(Yahoo Finance)的行业分类标准，所有个股被划分为11个经济行业。本数据集的历史数据均采集自雅虎财经(Yahoo Finance)（网址：https://finance.yahoo.com；数据采集时间：2023年9月10日）。此外，本数据集还包含两个基于最小生成树(minimal spanning tree)方法构建的、对应上述两个时段的个股收益率交叉相关网络矩阵。