Dynamics of investor spanning trees around dot-com bubble

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.

本研究通过构建基于投资者个体净交易量相关性的网络，识别出诺基亚股票的时序投资者网络，并分析了互联网泡沫（dot-com bubble）前后该网络的结构变化。本研究分别针对个人投资者、金融机构与非金融机构开展分析。研究结果显示，个人投资者的生成树（spanning tree）指标能够反映市场繁荣与危机阶段：在泡沫滋生的牛市中，最大生成树指标呈现明显的上升趋势；更为关键的是，最小生成树指标可提前预警泡沫破裂。与此同时，我们发现金融机构与非金融机构的最小、最大生成树指标在泡沫周期中的响应则相对模糊，这表明个人投资者在泡沫周期中表现出更强的羊群行为倾向。