Ersin Demirel, Examination of Institutional Investor Network Patterns in Context of Major Crashes in US Stock Markets
In the United States, institutional investors submit 13F reports to SEC every quarter, disclosing the number of shares they own. However, investors may delay filing these reports to conceal their strategies. In this study, data from 13F filings were enriched with additional information such as stock prices and industries to create a bipartite, dynamic, and rich-attributed graph. The changes in network metrics, edge counts, and motif counts were visualized, highlighting crises in the relevant time period. The study found that clustering coefficient, significant position changes, late-filed 13F reports, and specific motif counts of graph shows significant changes during market crashes.
Date: 18.01.2024 / 10:00 Place: A-212