Abstract
In this study, we investigate the stock market network among the stocks traded in Malaysia, Singapore and Indonesia using the minimal spanning tree approach. Based on the market capitalization, the monthly adjusted closing prices from 2016 until 2017 of 10 companies for each stock market are chosen to construct the network, and the most influential stocks between Malaysia, Singapore and Indonesia stock markets are identified. Findings of this study show that 3 out of 30 companies are identified as the most influential in the Malaysia, Singapore and Indonesia stock market.
Highlights
Stock market is a complex system of economic transactions for the trading of company stocks and derivatives at an agree price
The data used in this study is the monthly adjusted closing prices for 30 companies from January 1, 2016 until December 31, 2017 collected from Bursa Malaysia (KLSE), Singapore Exchange (SGX) and Indonesia Stock Exchange (IDX)
The network studied in this paper represents the stocks traded in Bursa Malaysia (KLSE), Singapore Exchange (SGX) and Indonesia Stock Exchange (IDX)
Summary
Stock market is a complex system of economic transactions for the trading of company stocks and derivatives at an agree price. The difficulties in illustrating the relationship between the companies have given much attention to researchers to explore this field. They are interested in the behavior of stocks traded in the market like the way the stocks relate to each other. In [2], MST is used to study the clustering of companies using correlation of returns, by transforming the correlation returns into metric distance and constructing a network using MST which is derived from graph theory.
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