Dynamic correlation network analysis of financial asset returns with network clustering

Applied Network Science

Table 1 Clustering result with group features

Note: Group ids from P1 to P14 are identified in Fig. 1. The major categories of Cyclical and Defensive groups are defined as the result of the first binary division of the whole universe of stocks as described in Fig. 1. The data of the two major categories are group mean values. Beta is calculated by a robust MM-estimator for individual stocks with one factor (TOPIX and US dollar/Japanese yen exchange rate, respectively) linear model as the elasticity of stock price change to the factor change; then, averaged as the group mean value. Company size index is the percentile value of empirical distribution of market capitalization of individual stocks. Overseas sales ratio is simply averaged over stocks which have the data for each group