Inferring Energy Stock Returns Based on Financial Indicators from the Network Perspective

ABSTRACT

The return on the energy stocks has become a hot research topic. The investment value of an energy stock should consider both the stock price and its intrinsic value, which is comprehensively reflected by the financial indicators of a listed energy company. However, few studies have studied the nature of the relation between financial indicators from a network perspective. Therefore, we construct relational networks of listed companies based on six types of financial indicators. We also build regression models based on econometric theory. We find that the network structural parameters in different networks have different significant impacts on current and future energy stock returns.

KEY WORDS:

• Complex network
• financial indicators
• regression model
• stock returns

JEL classification:

• C51
• G1
• G11l

Acknowledgments

The authors would like to express their gratitude to Haizhong An, Qingru Sun who provided valuable suggestions.

Supplementary material

Supplemental data for this article can be accessed here.

Additional information

Funding

This research was supported by <Humanities and Social Sciences planning funds project under the Ministry of Education of the PRC> under Grant < number 17YJCZH047>; <the National Natural Science Foundation of China> under Grant < number 41871202>; <Beijing Natural Science Foundation> under Grant <number 9174041> and <the Fundamental Research Funds for the Central Universities> under Grant <number 265208247>.