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Supply Chain and Correlations

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Secondary
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Abstract
1. Frédéric Abergel 1. is a senior quantitative analyst at BNP Paribas Asset Management in Paris, France. (frederic.abergel{at}bnpparibas.com) 2. Adrien Akar 1. is a junior quantitative analyst at BNP Paribas Asset Management in Paris, France. (adrien.akar{at}gmail.com) This article is an in-depth, large-scale analysis of the supply chain network and its bearing on the correlation structure of stock returns. The authors show that the stock returns of companies that are connected through the supply chain network exhibit a correlation structure that differs significantly from that of random pairs of stocks. This effect is observed for companies that are directly connected as well as through a common third party. A clustering approach is used to yield some interesting, easier-to-exploit results with a view toward risk modeling. The authors also perform an analysis of rare, negative events, highlighting some lead-lag relationships.
Author
jpm.pm-research.com
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Journal
https://jpm.pm-research.com/content/early/2022/11/23/jpm.2022.1.440
Published
2022/11/23
Retrieved
2022/11/23 11:49
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