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The emergence of critical stocks in market crash

dataset
posted on 02.06.2019, 02:22 by Shan Lu, Jichang Zhao
Data used in the paper "The emergence of critical stocks in market crash".

1. The '2015bipartite.graphml' and '2015-1_fund_stock.graphml' contains the stock networks established by the mutual funds holding data on Jun 30, 2015. While the first file has the mutual funds holding values grouped by the labels of mutual fund companies, the second one uses mutual funds holding values directly. The original data of mutual funds holding are provided by Wind Information, which is not publicly available due to Wind’s license requirement.

2. The ‘stock_style.csv’ describes which kind of investment style a stock belongs to, which is also downloaded from Wind Information.

3. The series of files named as ‘first to low *.csv’ includes the stocks which reach their limit down prices. The timing of stocks reaching limit down prices are calculated from the intraday price data provided by Thomson Reuters’ Tick History. The information of whether a stock reached its limit down price is provides by Wind Information. The original price trends data is not publicly available due to the company’s license requirement.


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