Investor Networks in the Stock Market

44 Pages Posted: 14 Mar 2011

See all articles by Han N. Ozsoylev

Han N. Ozsoylev

Ozyegin University

Johan Walden

University of California, Berkeley - Finance Group

M. Deniz Yavuz

Purdue University - Krannert School of Management

Recep Bildik

Borsa Istanbul (Istanbul Stock Exchange)

Date Written: March 11, 2011

Abstract

We study investor networks in the stock market, through the lens of information network theory. We use a unique account level dataset of all trades on the Istanbul Stock Exchange in 2005, to identify traders who are similar in their trading behavior as linked in an empirical investor network (EIN). This empirical investor network is consistent with several predictions from the theory of information networks. The EIN is relatively stable over time, centrally placed investors earn higher profits, some investors systematically trade before their neighbors in the network, and the cross sectional distributions of profits and trading volume are heavy-tailed with similar tail exponents. We also identify interesting theoretical challenges for future research.

Keywords: Information Networks, Heterogeneous Investors, Portfolio Choice, Power Law

JEL Classification: G11, G12

Suggested Citation

Ozsoylev, Han N. and Walden, Johan and Yavuz, M. Deniz and Bildik, Recep, Investor Networks in the Stock Market (March 11, 2011). AFA 2012 Chicago Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1784007 or http://dx.doi.org/10.2139/ssrn.1784007

Han N. Ozsoylev

Ozyegin University ( email )

Kusbakisi Cd. No: 2
Altunizade, Uskudar
Istanbul, 34662
Turkey

Johan Walden (Contact Author)

University of California, Berkeley - Finance Group ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States
(510) 643-0547 (Phone)

HOME PAGE: http://www.haas.berkeley.edu/faculty/walden.html

M. Deniz Yavuz

Purdue University - Krannert School of Management ( email )

1310 Krannert Building
West Lafayette, IN 47907-1310
United States

Recep Bildik

Borsa Istanbul (Istanbul Stock Exchange) ( email )

Borsa Istanbul
Resitpasa, Emirgan
Istanbul, 34467
Turkey
90-212-298 21 93 (Phone)
90-212-298 25 00 (Fax)

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