Robust Statistical Procedures for Testing Dynamics in Market Network
Market network analysis attracts a growing attention last decades. One of the most important problems related with it is the detection of dynamics in market network. In the present paper, the stock market network of stock’s returns is considered. Probability of sign coincidence of stock’s returns is used as the measure of similarity between stocks. Robust (distribution free) multiple testing statistical procedure for testing dynamics of network is proposed. The constructed procedure is applied for German, French, UK, and USA market. It is shown that in most cases where the dynamics is observed it is determined by a small number of hubs in the associated rejection graph.
KeywordsStock returns Probability of sign coincidence Sign correlation Stock markets Uniformly most powerful test Multiple hypothesis testing Bonferroni correction
The work is partially supported by RFHR grant 15-32-01052.
- 4.Kalyagin, V.A., Koldanov A.P., Koldanov, P.A.: Robust identification in random variables networks. J. Stat. Plan. Inference 181, 30–40 (2017)Google Scholar
- 5.Koldanov, P.A., Lozgacheva, N.N.: Multiple testing of sign symmetry for stock return distributions. Int. J. Theor. Appl. Finance (2016)Google Scholar
- 7.Voronina, M.A., Koldanov, P.A.: Stability testing of stock returns connections. In: Springer Proceedings in Mathematics and Statistics, vol. 197, pp. 163–174 (2017)Google Scholar