The Media-based Corporate Swarm on Stock Markets

摘要

To describe the relatedness of listed firms, we construct a corporate network in terms of the degree that two listed firms are mentioned together in the same news articles. We find the existence of swarm behavior among a group of firms listed on Chinese stock markets. Each stock can be located within a “stock family” and family members tend to have a swarm behavior. Such relatedness is sustainable and can be used to predict future co-movements of listed firms in both normal and extreme market periods, even though we restrict our analysis to the most serious Chinese stock market crash in 2015.