Abstract
We construct a network centrality portfolio strategy using Planar Maximally Filtered Graph, and investigate the relationships between centrality and cross-section of international stock markets. We find that the network centrality could significantly explain the cross-section of stock market returns. A subsample analysis shows that the strategy performs better before the crisis, which reveals that business cycles influence the performance of the strategy.
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Xu, Z., Li, Z., Fang, T. (2021). Network Centrality and Cross-Section of Stock Market Returns. In: Li, M., Bohács, G., Hua, G., Gong, D., Shang, X. (eds) IEIS 2020. Springer, Singapore. https://doi.org/10.1007/978-981-33-4363-4_1
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DOI: https://doi.org/10.1007/978-981-33-4363-4_1
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