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. We conduct the analysis separately for households, non-financial institutions, and financial institutions. Our results indicate that spanning tree measures for households reflected the boom and crisis: the maximum spanning tree measures had 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 bubble. At the same time, we find less clear reactions in minimal and maximal spanning trees of non-financial and financial institutions around the bubble, which suggest that household investors can have a greater herding tendency around bubbles.
@article{arxiv.1708.04430,
title = {Dynamics of Investor Spanning Trees Around Dot-Com Bubble},
author = {Sindhuja Ranganathan and Mikko Kivelä and Juho Kanniainen},
journal= {arXiv preprint arXiv:1708.04430},
year = {2018}
}