RT Journal Article
SR Electronic
T1 Supply Chain and Correlations
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 138
OP 158
DO 10.3905/jpm.2022.1.440
VO 49
IS 3
A1 Frédéric Abergel
A1 Adrien Akar
YR 2023
UL https://pm-research.com/content/49/3/138.abstract
AB This article is an in-depth large-scale analysis of the supply chain network and its bearing on the correlation structure of stock returns. The authors show that the stock returns of companies that are connected through the supply chain network exhibit a correlation structure that differs significantly from that of random pairs of stocks. This effect is observed for companies that are connected directly as well as through a common third party. A clustering approach is used to yield some interesting easier-to-exploit results with a view toward risk modeling. The authors also perform an analysis of rare negative events, highlighting some lead-lag relationships.