The multiplex stock market network
Description
The data set consists of 465 stocks that were continuously traded on the S&P500 Index for the period from April 8, 2013 to March 10, 2023. The entire data set was divided into two data sets covering the period starting April 8, 2013 and ending March 8, 2018, with 1240 trading days, for data set 1, and from March 9, 2018 to March 10, 2023, with 1260 trading days (approximately 5 years), for data set 2. The 465 companies remaining in the dataset were included in the S&P500 index on the last day of the time span, and each stock has 2500 data points. The data set for a single observation of each stock contains: i) daily closing price adjusted for splits and dividends; ii) daily trading volume. In addition, data were collected on: a) daily S&P500 index adjusted close prices; and b) interest rates on the 13-week Treasury Bill. All the networks (1) idiosyncratic return; 2) volatility; 3) trading volume; 4) multiplex stock market network, and 5) cross-correlation of stock return) were constructed using data set 2. However, the idiosyncratic return network construction methodology requires stock prices, S&P500 indexes, and the 13-week Treasury Bill returns data to be obtained for an additional period encompassing data set 1. These historical data were collected from Yahoo Finance (https://finance.yahoo.com; accessed on 11.03.2023). The supplementary data set comprises data on the prices of 456 stocks, stock returns, and Sharpe ratios, derived from out-of-sample data spanning 252 days, with a one-year lag from the last data point employed in the construction of the financial networks. The time frame for the out-of-sample data is March 13, 2023, to March 12, 2024. The data was collected from Yahoo Finance https://finance.yahoo.com; accessed on 08.05.2024). In addition, data for two centrality measures are included: degree centrality and eigenvector centrality for two networks: i) the multiplex stock market network, and ii) the cross-correlation of stock return. The additional data file contains degree data for all networks and layers needed to perform an analysis of robustness to network failure.
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Steps to reproduce
The minimal spanning tree