Comparing Investor Networks in Different Market Conditions

Abstract

We investigate differences in the structures of investor stock trading networks prior to and during the global financial crisis of 2007-2008. We find that the population of investor networks for 45 securities have different structures between pre-crisis and crisis periods with statistical significance. Moreover, we observe the herding tendency and high synchronization in trade timing during the crisis, which is supported by the literature. These findings can be used to develop early-warning signals for crises in stock markets.