Directed network of Shariah-compliant stock in Bursa Malaysia

Abstract

Stock network is a type of financial network based on stock price data used for analysing stock market dynamics. In this paper, a directed stock network is developed. This model was built using 480 shariah-compliant stocks traded in Bursa Malaysia from the year 2016 until 2018. Transfer Entropy was used as a measuring tool to build the stock network. Different networks are built and evaluated using network analysis methods. To determine the important stocks in the networks, centrality measures are applied such as degree centrality. The findings showed that Borneo Oil Berhad (BRNL) is the most influential and important stock among the 480 shariah-compliant stock in the Bursa Malaysia.