Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237189 
Year of Publication: 
2020
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 6 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-14
Publisher: 
Springer, Heidelberg
Abstract: 
To examine the interdependency and evolution of Pakistan's stock market, we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange (KSE-100) index. Using the minimum spanning tree network-based method, we extend the financial network literature by examining the topological properties of the network and generating six minimum spanning tree networks around three general elections in Pakistan. Our results reveal a star-like structure after the general elections of 2018 and before those in 2008, and a tree-like structure otherwise. We also highlight key nodes, the presence of different clusters, and compare the differences between the three elections. Additionally, the sectorial centrality measures reveal economic expansion in three industrial sectors-cement, oil and gas, and fertilizers. Moreover, a strong overall intermediary role of the fertilizer sector is observed. The results indicate a structural change in the stock market network due to general elections. Consequently, through this analysis, policy makers can focus on monitoring key nodes around general elections to estimate stock market stability, while local and international investors can form optimal diversification strategies.
Subjects: 
Minimum spanning tree
Centrality measures
General elections
Emerging market
Pakistan
Stock market network
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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