| Popis: |
The behavior of stock prices has been studied extensively throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, we provide another perspective using a network theoretical approach to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place in the last twenty years, worldwide, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way or with a different magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises. |
