Investigation of major international and Turkish companies via hierarchical methods and bootstrap approach


Kantar E. , Deviren B., KESKİN M.

EUROPEAN PHYSICAL JOURNAL B, vol.84, no.2, pp.339-350, 2011 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 84 Issue: 2
  • Publication Date: 2011
  • Doi Number: 10.1140/epjb/e2011-20627-6
  • Title of Journal : EUROPEAN PHYSICAL JOURNAL B
  • Page Numbers: pp.339-350

Abstract

We present a study, within the scope of econophysics, of the hierarchical structure of 98 among the largest international companies including 18 among the largest Turkish companies, namely Banks, Automobile, Software-hardware, Telecommunication Services, Energy and the Oil-Gas sectors, viewed as a network of interacting companies. We analyze the daily time series data of the Boerse-Frankfurt and Istanbul Stock Exchange. We examine the topological properties among the companies over the period 2006-2010 by using the concept of hierarchical structure methods (the minimal spanning tree (MST) and the hierarchical tree (HT)). The period is divided into three subperiods, namely 2006-2007, 2008 which was the year of global economic crisis, and 2009-2010, in order to test various time-windows and observe temporal evolution. We carry out bootstrap analyses to associate the value of statistical reliability to the links of the MSTs and HTs. We also use average linkage clustering analysis (ALCA) in order to better observe the cluster structure. From these studies, we find that the interactions among the Banks/Energy sectors and the other sectors were reduced after the global economic crisis; hence the effects of the Banks and Energy sectors on the correlations of all companies were decreased. Telecommunication Services were also greatly affected by the crisis. We also observed that the Automobile and Banks sectors, including Turkish companies as well as some companies from the USA, Japan and Germany were strongly correlated with each other in all periods.