Network Analysis of BIST 100: Crisis Precursors and Influential Nodes

Date

2025-01-01

Author

Işlak, Ümit
Temoçin, Büşra Zeynep

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This paper studies the network dynamics of the Turkish stock market BIST 100 (Borsa Istanbul Stock Exchange Index) in regards to crisis precursors and influential nodes. The networks, based on the stock prices, are constructed via both the correlation and the causality based approaches, allowing us to analyze different aspects and compare the two constructions that are frequently used in the literature. A particular emphasis is given to network characteristics that measure uniformity among nodes of certain quantities such as the degree and the clustering. These, along with the Laplacian energy, are studied in relation to economic conditions and crisis in Turkey. Our findings indicate that these measures are in harmony with the general economic condition in Turkey, and this is validated in case of degree irregularity and Laplacian energy via statistical tests. Other standard characteristics such as the edge density are also under consideration. Lastly, we also analyze the market by focusing on the stocks individually, and determine the most influential nodes. The banking sector seems to be the most influential area.

Subject Keywords

Causality, Correlation, Financial crises, Network characteristics, Stability

URI

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=105019710654&origin=inward
https://hdl.handle.net/11511/116795

Collections

Graduate School of Applied Mathematics, Article