Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 593, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2022.126976
Keywords
Complex networks; Resilience; Community structure; Socially responsible investments; ESG criteria; Investment funds
Categories
Funding
- Morningstar, Italy [OPP635470]
- Etica Sgr, Italy [R01-2019]
- Ministerodell'Istruzione, dell'Universita e della Ricerca, Italy [SIFI6_00055]
- Fondazione Cassa di Risparmio di Perugia, Italy [2017.0226.021]
- University of Perugia, Italy (Fondo Ricerca di Base 2018)
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This paper presents a novel resilience measure for a family of networks based on the stability of its community structure. It applies the measure to compare portfolios of funds with different Environmental, Social and Governance scores and finds that the network composed of high-ranked funds is more resilient when funds are small-sized, while the opposite behavior is observed for big-sized funds.
This paper provides a novel resilience measure of a family of networks in terms of stability of its community structure. To this aim, we assign to each node a probability distribution and introduce an exogenous shock as a lump sum perturbing its left tail. Then, we measure the reactions of the considered networks to the occurrence of such exogenous shocks. Starting from the intuitive interpretation of the methodological proposal in the financial context, we employ it to compare portfolios of funds with different ranks in terms of the Environmental, Social and Governance score. In particular, we consider financial networks whose nodes represent funds, and edges are weighted on the basis of the capitalization due to the common components of the connected nodes. Interestingly, we find that the considered network of High ranked funds is more resilient than the corresponding network of Low ranked funds when funds are small-sized. The opposite behavior is observed for the big-sized funds. (C) 2022 Elsevier B.V. All rights reserved.
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