An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection

Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk estimation and portfolio selection. Methods: Fir...

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Autores principales:	Saeed Fallahpour, Ali Ghahramani
Formato:	article
Lenguaje:	FA
Publicado:	University of Tehran 2021
Materias:	: centrality centrality based strategy financial market network portfolio selection Finance HG1-9999
Acceso en línea:	https://doaj.org/article/32a1080a471c442a81c2b243afd95eba
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spelling	oai:doaj.org-article:32a1080a471c442a81c2b243afd95eba2021-11-14T06:00:55ZAn Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection1024-81532423-537710.22059/jfr.2018.241407.1006515https://doaj.org/article/32a1080a471c442a81c2b243afd95eba2021-08-01T00:00:00Zhttps://jfr.ut.ac.ir/article_83580_de80b7f52d375b358d28ed8b4ee9a061.pdfhttps://doaj.org/toc/1024-8153https://doaj.org/toc/2423-5377Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk estimation and portfolio selection. Methods: First in this paper, we analyzed the relationship between stock’s centrality & benchmark risk estimation measures like beta & standard deviation. Then, we analyzed the relationship between stock’s centrality & Markowitz framework’s weights; and finally, we introduced centrality-based portfolio selection strategy and compared it with other benchmarks, by different portfolio performance measures. Results: Our observations indicate that in Tehran stock exchange, centrality can have an effective role in stocks risk estimation and there is a meaningful relation between centrality and other measures. We also observed that out that low central stocks can raise the benefits of portfolio diversification, and centrality-based portfolio selection method can have a better performance than other benchmark portfolio selection methods and results in a better risk adjusted return. Conclusion: Stock centrality, as a measure to estimate importance and influence of member of a network, is capable of describing stock risk characteristics like other accepted measures. We can take advantage of this capability for portfolio selection.Saeed FallahpourAli GhahramaniUniversity of Tehranarticle: centralitycentrality based strategyfinancial market networkportfolio selectionFinanceHG1-9999FAتحقیقات مالی, Vol 23, Iss 2, Pp 158-171 (2021)
institution	DOAJ
collection	DOAJ
language	FA
topic	: centrality centrality based strategy financial market network portfolio selection Finance HG1-9999
spellingShingle	: centrality centrality based strategy financial market network portfolio selection Finance HG1-9999 Saeed Fallahpour Ali Ghahramani An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
description	Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk estimation and portfolio selection. Methods: First in this paper, we analyzed the relationship between stock’s centrality & benchmark risk estimation measures like beta & standard deviation. Then, we analyzed the relationship between stock’s centrality & Markowitz framework’s weights; and finally, we introduced centrality-based portfolio selection strategy and compared it with other benchmarks, by different portfolio performance measures. Results: Our observations indicate that in Tehran stock exchange, centrality can have an effective role in stocks risk estimation and there is a meaningful relation between centrality and other measures. We also observed that out that low central stocks can raise the benefits of portfolio diversification, and centrality-based portfolio selection method can have a better performance than other benchmark portfolio selection methods and results in a better risk adjusted return. Conclusion: Stock centrality, as a measure to estimate importance and influence of member of a network, is capable of describing stock risk characteristics like other accepted measures. We can take advantage of this capability for portfolio selection.
format	article
author	Saeed Fallahpour Ali Ghahramani
author_facet	Saeed Fallahpour Ali Ghahramani
author_sort	Saeed Fallahpour
title	An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
title_short	An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
title_full	An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
title_fullStr	An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
title_full_unstemmed	An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection
title_sort	analysis of centrality’s features as a new measure for network analysis, risk measurement & portfolio selection
publisher	University of Tehran
publishDate	2021
url	https://doaj.org/article/32a1080a471c442a81c2b243afd95eba
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An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection

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