Abstract
The present paper can be considered as divided in two parts: in the first one, we provide a review of the methods of complex networks that have been mainly used in the applications to the analysis of financial data. We focus on the following topics: the usage of the correlation matrix, systemic risk, integrated ownership and control, board of directors, interbank networks, and mutual funds holdings structure. The second part shows this last subject and provides new analyses.
The main findings outline that there are substantial differences in geographical allocation among the different European fund managers. Five larger European countries dominate the market of mutual funds. The belonging of UK and Swiss opt-outs of the eurozone could be a probable explanation for our results on community detection, that give a snapshot of a sort of ``geographical organization'' of the core of mutual funds portfolios.
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Notes
- 1.
The largest fund management companies worldwide as of December 2014 are Blackrock, Vanguard Asset Management, State Street Global Advisors and Fidelity Investments.
- 2.
Five European countries mostly contribute to the group of 215 mutual funds: Germany (18 funds), France and Italy (45 funds each), United Kingdom (59 funds), Switzerland (26 funds). Other 22 funds belong to investment houses of 9 other European countries. Due to the exiguity of the samples, they have been gathered into the category “Others”.
- 3.
In the sample of stocks, the ones belonging to the five most represented countries (DE, FR, IT, SW, UK) account for the 57.08 % of the sample.
- 4.
If h = 1, the hypothesis of normality is rejected, h = 0 means that it is accepted.
- 5.
Available at https://www.msci.com/constituents.
- 6.
Germany 8.4 %, Switzerland 12.1 %, Italy and France 20.9 % each, UK 27.4 % and the residual Countries 10.1 %.
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The authors thank COST Action IS1104 for fruitful networking and financial support and Dr. Anna Romagnuolo for editing and proofreading.
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D’Arcangelis, A.M., Rotundo, G. (2016). Complex Networks in Finance. In: Commendatore, P., Matilla-García, M., Varela, L., Cánovas, J. (eds) Complex Networks and Dynamics. Lecture Notes in Economics and Mathematical Systems, vol 683. Springer, Cham. https://doi.org/10.1007/978-3-319-40803-3_9
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