Abstract:This article focuses on the detailed network structure of the co-movement for asset returns. Based on the Chinese sector indices and Fama-French five factors, we conducted return decomposition and constructed a minimum spanning tree (MST) in terms of the rank correlation among raw return, idiosyncratic return, and factor premium. With the adoption of a rolling window analysis, we examined the static and time-varying characteristics associated with the MST(s). We obtained the following findings: 1) A star-like … Show more
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