Centrality Measures for Shariah-Compliant Stocks Network during Global Financial Crisis: A Case of Bursa Malaysia

Bahaludin, Hafizah and Mahamood, Fatin Nur Amirah and Abdullah, Mimi Hafizah (2020) Centrality Measures for Shariah-Compliant Stocks Network during Global Financial Crisis: A Case of Bursa Malaysia. In: INTERNATIONAL CONFERENCE ON RECENT ADVANCES IN APPLIED MATHEMATICS 2020 (ICRAAM2020), 04-06 February 2020, Kuala Lumpur, Malaysia. (Unpublished)

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Abstract

The correlation of stocks can be classified as a complex system in which have difficulties to visualize as a whole. In addition, the main challenge is to identify which stock plays a crucial stock in the financial market. Thus, the objective of this study is to construct a financial network of 121 shariah-compliant securities traded in Bursa Malaysia from the year 2008 to the year 2009, by focusing on the global financial crisis. This paper used the minimum spanning tree (MST) approach to construct the network. Further, this study employed various centrality measures such as degree, betweenness, closeness, eigenvector, and eccentricity centrality in order to identify the most influential stock in the network. Then, the principal component analysis (PCA) is used to summarise the performance of centrality measure to select the central node of the network. This finding helps investors by providing an overview of the relationship of each stock as a whole and identifies the key stock in the market during a turbulent period.

Item Type:	Conference or Workshop Item (Plenary Papers)
Subjects:	Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Hafizah Bahaludin
Date Deposited:	13 Oct 2021 15:55
Last Modified:	13 Oct 2021 15:55
URI:	http://irep.iium.edu.my/id/eprint/92237

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