Financial network is a complex system in which transaction of securities take place. Due to its complexity, a minimum spanning tree (MST) technique is used to visualize the structure. This paper investigates the topological structure of 125 shariah-compliant stocks traded in Bursa Malaysia from the year 2000 until 2017. Financial networks of the shariah-compliant stocks are constructed using MST for three duration periods namely the pre-crisis, during crisis and post-crisis. To determine the important stocks in the networks, centrality measures are applied such as degree centrality, betweenness centrality, closeness centrality and eigenvector centrality. Lastly, overall centrality measures are computed to identify the overall characteristic of each node. The findings showed that, KUB Malaysia Berhad was the most influential stock in the pre-crisis and crisis periods. While, MK Land Holdings was the main stock in the post-crisis network.
Valued in hundreds of billions of Malaysian ringgit, the Bursa Malaysia Financial Services Index’s constituents comprise several of the strongest performing financial constituents in Bursa Malaysia’s Main Market. Although these constituents persistently reside mostly within the large market capitalization (cap), the existence of the individual constituent’s causal influence or intensity relative to each other’s performance during uncertain or even certain times is unknown. Thus, the key purpose of this paper is to identify and analyze the individual constituent’s causal intensity, from early 2018 (pre-COVID-19) to the end of the year 2021 (post-COVID-19) using Granger causality and Schreiber transfer entropy. Furthermore, network science is used to measure and visualize the fluctuating causal degree of the source and the effected constituents. The results show that both the Granger causality and Schreiber transfer entropy networks detected patterns of increasing causality from pre- to post-COVID-19 but with differing causal intensities. Unexpectedly, both networks showed that the small- and mid-caps had high causal intensity during and after COVID-19. Using Bursa Malaysia’s sub-sector for further analysis, the Insurance sub-sector rapidly increased in causality as the year progressed, making it one of the index’s largest sources of causality. Even after removing large amounts of weak causal intensities, Schreiber transfer entropy was still able to detect higher amounts of causal sources from the Insurance sub-sector, whilst Granger causal sources declined rapidly post-COVID-19. The method of using directed temporal networks for the visualization of temporal causal sources is demonstrated to be a powerful approach that can aid in investment decision making.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.