The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets - Université d'Angers Accéder directement au contenu
Article Dans Une Revue Journal of Economic Interaction and Coordination Année : 2022

The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets

Giulia Rotundo
  • Fonction : Auteur

Résumé

Abstract In this work, we focus on the cross-shareholding structure in financial markets. Specifically, we build ad hoc indices of concentration and control by employing a complex network approach with a weighted adjacency matrix. To describe their left and right tail dependence properties, we explore the theoretical dependence structure between such indices through copula functions. The theoretical framework has been tested over a high-quality dataset based on the Italian Stock Market. In doing so, we clearly illustrate how the methodological setting works and derive financial insights. In particular, we advance calibration exercises on parametric copulas under the minimization of both Euclidean distance and entropy measure.

Dates et versions

hal-04321683 , version 1 (04-12-2023)

Identifiants

Citer

Roy Cerqueti, Giulia Rotundo. The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets. Journal of Economic Interaction and Coordination, 2022, 18 (2), pp.213-232. ⟨10.1007/s11403-022-00364-7⟩. ⟨hal-04321683⟩

Collections

UNIV-ANGERS GRANEM
7 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More