Network Analysis of Stock Prices Case Study: Listed Pharmaceutical Companies in the OTC and Stock Market of Iran
Message:
Abstract:
The analysis of stock market is a crucial factor in predicting future events. Network analysis is one of the newest method in analyzing of stock market. In quantitative science literature, network analysis is a new concept for a macro view to whole market. Quantifying the relationship between different stock market is a favorite issue for scientific studies in comprehension of complex systems. This kind of quantifying is done based on the volatility of stock price and their impact on each other. Therefore, this study aims to analyze the correlation of network analysis of pharmaceutical companies in the OTC and stock market in Iran from 2011 to 2016. This study is among the network analysis of quantitative research based on data gathering. Data was analyzed thorough network analysis with the use of SPSS and UCINET. The findings show that in levels of %75 and %80 correlation the Iran Daru and Tolid Daru corporations have the highest degree, and play as a center of network in stock price respectively. In %95 level, only Iran Daru with Tolid Daru and Razak Daru with Tamin Daru investment have relationship and other corporations in this level are isolated. In fact, the results of investigating the stock price network in the %75 to %95 correlation show that the considered network does not have density and consideration and by increasing the correlation, the network entropy raise up and in turn increase the concerns. For investors who are trying to reduce the risk of their portfolio, increase in entropy leads to increase in the risk of their investment.
Article Type:
Research/Original Article
Language:
Persian
Published:
Journal of Investment Knowledge, Volume:8 Issue:29, 2019
Pages:
171 - 188
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