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Directed association network analysis on the Standard and Poor’s 500 Index

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Abstract

In this paper, we study the association between the core American listed companies by analysing the stock data of the Standard and Poor’s 500 Index. During the network analysis, we use a new correlation coefficient (Chatterjee in J Am Stat Assoc 116(536):1–21, 2020) to construct the directed association network and apply the directed spectral clustering on ratios of eigenvectors method (DSCORE) (Ji and Jin in Ann Appl Stat 10(4):1779–1812, 2016) for community detection. The obtained three communities are: “traditional” community, “intermediate” community, and “advanced” community respectively. We continue to analyse the entire directed association network and three communities by the node degree, and further study the companies of the central location of networks or associating within their own community or through the entire directed association network. Our results present a rational and particular community detection analysis of the financial market network. The microeconomic information hidden in stocks is successfully reflected in the associations between the American listed companies. The findings are also helpful to understand the United States market.

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Notes

  1. Ball Corporation, Danaher Corporation, Ecolab Corporation, and Trane Technologies Company.

  2. Paycom Software Corporation, ServiceNow Corporation, and Verisign Corporation.

  3. Arthur J. Gallagher Company, Aon Corporation, Cincinnati Financial Corporation.

  4. Hershey Corporation, Kraft Heinz Corporation, McDonald’s Corporation, McCormick Company, Starbucks Corporation, Yum! Brands Corporation.

  5. Thermo Fisher Scientific Corporation, Abbott Laboratories, Boston Scientific Corporation, and Cooper Companies Corporation.

  6. AES Corporation, Waste Management Corporation.

  7. Garmin Ltd., Motorola Solutions Corporation, and T-Mobile US Corporation.

  8. Adobe Systems Company, ANSYS Corporation, Cadence Design Systems Corporation, CDW Corporation, Copart Corporation, Intel Corporation, Microsoft Corporation, and Synopsys Corporation.

  9. Advanced Micro Devices Corporation, Automatic Data Processing Corporation, Keysight Technologies Corporation, Teledyne Technologies Corporation, and TransDigm Group Incorporation.

  10. Fiserv Corporation, Moody’s Corporation, MSCI Corporation, and McGraw Hill Financial Corporation.

  11. Fidelity National Information Services Corporation, Global Payments Corporation, Mastercard Corporation, and Visa Corporation.

  12. ProLogis Corporation, Duke Realty Corporation.

  13. Costco Corporation, Ross Stores Corporation, Cintas Corporation.

  14. Centene Corporation, Edwards Lifesciences Corporation, IDEXX Laboratories Corporation, Steris Corporation, West Pharmaceutical Services Corporation, and Zoetis Corporation.

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Funding

This work was supported by the National Natural Science Foundation of China (Grant No. 12001557); the Youth Talent Development Support Program (QYP202104), the Emerging Interdisciplinary Project, and the Disciplinary Funds in Central University in Finance and Economics.

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  1. School of Statistics and Mathematics, Central University of Finance and Economics, Beijing, China

    Zhaoyang Li & Yuehan Yang

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  1. Zhaoyang Li
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Correspondence to Yuehan Yang.

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Li, Z., Yang, Y. Directed association network analysis on the Standard and Poor’s 500 Index. Comput Econ 63, 111–127 (2024). https://doi.org/10.1007/s10614-022-10331-w

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