Network Structures for Asset Return Co-Movement: Evidence From the Chinese Stock Market
This article focuses on the detailed network structure of the co-movement for asset returns. Based on the Chinese sector indices and Fama-French five factors, we conducted return decomposition and constructed a minimum spanning tree (MST) in terms of the rank correlation among raw return, idiosyncra...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2022-04-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2022.593493/full |