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Market Moods and Network Dynamics of Stock Returns: The Bipolar Behavior
Authors:Ali Irannezhad Ajirlou  Maryam Esmalifalak  Sahar Pordeli Behrouz  Farid Soltanalizadeh
Institution:1. Azad University of Arak;2. University of Houston;3. University of Canberra;4. Azarbaijan Shahid Madani University
Abstract:The authors show that a simple mood-separable preference in a network study of stock returns captures a variety of stylized facts regarding stocks’ provisional (ab)normal behavior. These behaviors are articulated in a multistate complete Euclidean network model that specifies the existence, direction, and magnitude of a self-organized dynamics for each individual stock during abnormal market moods. In the empirical setting, the authors apply suggested model along with 2 established visual approaches (multidimensional scaling and agglomerative hierarchical clustering) for benchmark purposes. Results reveal different levels of erratic return dynamics for each stock and the entire market in different abnormal market moods. The authors model and interpret these self-organized dynamics as evidence of stocks’ and market’s bipolar behavior.
Keywords:Complete Euclidean network  Alpha measure  Stocks’ bipolar behavior  Market’s bipolar behavior
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