Fig 1.
General framework of the research study.
Fig 2.
Time-series of idiosyncratic components of stock returns.
Table 1.
Network indicators.
Fig 3.
The MST networks of a) idiosyncratic return; b) volatility; c) trading volume; and d) multiplex network.
Fig 4.
The MST network of stock returns (monoplex network).
Fig 5.
Distribution of the multiplex participation coefficient.
Table 2.
Results of degree assortativity mixing.
Table 3.
Results of sector assortativity mixing.
Table 4.
Small-world quantities for the multiplex network.
Table 5.
Pearson correlation coefficients.
Table 6.
Jaccard and Czekanowski–Sørensen–Dice matching coefficients.
Table 7.
Jaccard index for two or more sets.
Fig 6.
a) FMN with all three layers (red edges; 7.95%); b) FMN with the SRN (green edges; 31.3%).
Table 8.
Network regression results.
Table 9.
Critical threshold for robustness to failure.
Fig 7.
Weighted multiplex network.
Table 10.
Pearson correlation coefficients (weighted networks).
Table 11.
Network regression results (weighted networks).
Table 12.
Critical threshold for robustness to failure (weighted networks).
Table 13.
Regression analysis results for out-of-sample Sharpe ratio.