, a stock correlation network is built to find the intracommunity and inter-community relationship. Design …/methodology/approach: The stock correlation network is built taking the vertices as stocks and edges as correlation coefficients of logarithm … after transferring the network into un-weighted with different thresholds. Findings: The result of the network community …

level shocks through the network. Using earnings surprises as a proxy for firm shocks, we find that our model's aggregation … is significantly correlated with the aggregate market return. Also, the network structure estimated by our model can …