Year: 2015
Type: article
Abstract: Institutional investors play an important role in determining the stock returns.However, not so many research conduct the empirical research to investigate their behaviors because of the lankness of dataset.This paper, by using the unique dataset which contains all daily buy and sell information in each broker, I explore the applications of multivariate vector autoregression (MVAR) models in constructing the financial networks of stock market.In the spirit of Granger causality, the proposed methodology provides a direct way with statistical significance and economic meaning to describe the mutual interconnectedness of brokers.A financial network I analyzed illustrates as the structure properties for the underlying interactions among institutional investors.
Author: Hongwei Chuang
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2607628939