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International Conference on Network Analysis

NET 2016: Models, Algorithms, and Technologies for Network Analysis pp 163–174Cite as

Stability Testing of Stock Returns Connections

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Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 197))

Abstract

The problem of stability of connections of stock returns over time is considered. This problem is formulated as a multiple testing problem of homogeneity of covariance matrices. A statistical procedure based on Box’s M-test and Bonferroni correction is proposed. This procedure is applied to French and German stock markets.

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References

  1. Anderson, T.W.: An Introduction to Multivariate Statistical Analysis, p. 721. T.W. Anderson, New York. Wiley (2003)

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  2. Boginski, V.: Statistical analysis of financial networks. In: Boginski, V., Butenko, S., Pardalos, P.M. (eds.) Computational Statistics and Data Analysis, vol. 48, issue no 2, pp. 431–443 (2005)

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  3. Box, G.E.P.: A general distribution theory for a class of likelihood criteria. Biometrika 36, 317–346 (1949)

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  4. Lehmann, E.L.: Chapter 9: Multiple testing and simultaneous inference. In: Lehmann, E.L., Romano, J.P. (eds.) Testing Statistical Hypotheses, pp. 348–391. Springer, New York (2005)

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Acknowledgements

The work of Koldanov P.A. was conducted at the Laboratory of Algorithms and Technologies for Network Analysis of National Research University Higher School of Economics. The work is partially supported by RFHR grant 15-32-01052.

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Authors and Affiliations

  1. National Research University Higher School of Economics, Laboratory of Algorithms and Technologies for Network Analysis, Nizhny Novgorod, Moscow, Russia

    M. A. Voronina & P. A. Koldanov

Authors
  1. M. A. Voronina
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  2. P. A. Koldanov
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Corresponding author

Correspondence to M. A. Voronina .

Editor information

Editors and Affiliations

  1. National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Valery A. Kalyagin

  2. National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Alexey I. Nikolaev

  3. Department of Industrial and Systems Engineering, University of Florida, Gainesville, Florida, USA

    Panos M. Pardalos

  4. Department of Industrial Engineering, University of Pittsburgh , Pittsburgh, Pennsylvania, USA

    Oleg A. Prokopyev

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© 2017 Springer International Publishing AG

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Voronina, M.A., Koldanov, P.A. (2017). Stability Testing of Stock Returns Connections. In: Kalyagin, V., Nikolaev, A., Pardalos, P., Prokopyev, O. (eds) Models, Algorithms, and Technologies for Network Analysis. NET 2016. Springer Proceedings in Mathematics & Statistics, vol 197. Springer, Cham. https://doi.org/10.1007/978-3-319-56829-4_12

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