Minimal Spanning Tree application to determine market correlation structure
Determining the structure of market correlation is an important topic in theory and experiments. Under the impact of the Covid-19 pandemic, the market structure may be deformed. Therefore, this study examines the pandemic’s impact on the market structure. This study considered the correlation struct...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE
2023-04-01
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| Series: | Ho Chi Minh City Open University Journal of Science - Engineering and Technology |
| Subjects: | |
| Online Access: | https://journalofscience.ou.edu.vn/index.php/tech-en/article/view/2669 |
| _version_ | 1797838526612504576 |
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| author | Bui Thanh Khoa Tran Trong Huynh Vo Dinh Nhat Truong Le Vu Truong Do Bui Xuan Cuong Tran Khanh |
| author_facet | Bui Thanh Khoa Tran Trong Huynh Vo Dinh Nhat Truong Le Vu Truong Do Bui Xuan Cuong Tran Khanh |
| author_sort | Bui Thanh Khoa |
| collection | DOAJ |
| description | Determining the structure of market correlation is an important topic in theory and experiments. Under the impact of the Covid-19 pandemic, the market structure may be deformed. Therefore, this study examines the pandemic’s impact on the market structure. This study considered the correlation structure of the VN30 portfolio (including 30 stocks with the largest market capitalization); the collecting period is from July 28, 2000, to July 30, 2021. The data was divided into 02 phases before and after the pandemic. The Kruskal algorithm is implemented to determine the Minimal Spanning Tree (MST) structure to define the structure of market correlation. This study compared the change in the structure before and after the Covid-19 pandemic by structures’ mean of distances comparison. T-test results show that there are structural differences before and after the pandemic. Based on the research result, investors should change their risk management strategy to suit the market context because the previous structure has been changed. |
| first_indexed | 2024-04-09T15:42:18Z |
| format | Article |
| id | doaj.art-abcaa6e7a71841f8a5d5533eebba0ec9 |
| institution | Directory Open Access Journal |
| issn | 2734-9330 2734-9608 |
| language | English |
| last_indexed | 2024-04-09T15:42:18Z |
| publishDate | 2023-04-01 |
| publisher | HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE |
| record_format | Article |
| series | Ho Chi Minh City Open University Journal of Science - Engineering and Technology |
| spelling | doaj.art-abcaa6e7a71841f8a5d5533eebba0ec92023-04-27T06:54:47ZengHO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCEHo Chi Minh City Open University Journal of Science - Engineering and Technology2734-93302734-96082023-04-01131647110.46223/HCMCOUJS.tech.en.13.1.2669.20231882Minimal Spanning Tree application to determine market correlation structureBui Thanh Khoa0Tran Trong Huynh1Vo Dinh Nhat Truong2Le Vu Truong3Do Bui Xuan Cuong4Tran Khanh5Industrial University of Ho Chi Minh City, Ho Chi Minh CityFPT University, HanoiFPT University, HanoiFPT University, HanoiIndustrial University of Ho Chi Minh City, Ho Chi Minh CityIndustrial University of Ho Chi Minh City, Ho Chi Minh CityDetermining the structure of market correlation is an important topic in theory and experiments. Under the impact of the Covid-19 pandemic, the market structure may be deformed. Therefore, this study examines the pandemic’s impact on the market structure. This study considered the correlation structure of the VN30 portfolio (including 30 stocks with the largest market capitalization); the collecting period is from July 28, 2000, to July 30, 2021. The data was divided into 02 phases before and after the pandemic. The Kruskal algorithm is implemented to determine the Minimal Spanning Tree (MST) structure to define the structure of market correlation. This study compared the change in the structure before and after the Covid-19 pandemic by structures’ mean of distances comparison. T-test results show that there are structural differences before and after the pandemic. Based on the research result, investors should change their risk management strategy to suit the market context because the previous structure has been changed.https://journalofscience.ou.edu.vn/index.php/tech-en/article/view/2669covid-19 pandemicmarket correlation structuremean of distancesminimal spanning treet-test |
| spellingShingle | Bui Thanh Khoa Tran Trong Huynh Vo Dinh Nhat Truong Le Vu Truong Do Bui Xuan Cuong Tran Khanh Minimal Spanning Tree application to determine market correlation structure Ho Chi Minh City Open University Journal of Science - Engineering and Technology covid-19 pandemic market correlation structure mean of distances minimal spanning tree t-test |
| title | Minimal Spanning Tree application to determine market correlation structure |
| title_full | Minimal Spanning Tree application to determine market correlation structure |
| title_fullStr | Minimal Spanning Tree application to determine market correlation structure |
| title_full_unstemmed | Minimal Spanning Tree application to determine market correlation structure |
| title_short | Minimal Spanning Tree application to determine market correlation structure |
| title_sort | minimal spanning tree application to determine market correlation structure |
| topic | covid-19 pandemic market correlation structure mean of distances minimal spanning tree t-test |
| url | https://journalofscience.ou.edu.vn/index.php/tech-en/article/view/2669 |
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