MINIMUM SPANNING TREE FOR 29 MOST ACTIVE STOCKS IN BURSA MALAYSIA PRE- AND POST-MCO

Abstract

On 18 March 2020, the Malaysian government issued the Movement Control Order (MCO) to aid in the fight against the COVID-19. This MCO not only restricts human movement, but it also lowers financial profits for businesses and has a substantial impact on stock returns. The aim of this study is to construct Minimum Spanning Tree (MST) for 29 most active stocks traded in Bursa Malaysia between 2018 to 2021 which is pre- and post-MCO to identify the changes of MST structure for both periods. The daily adjusted closing prices of 29 firms from 2018 to 2021 are chosen to set up the MST. Degree centrality and closeness centrality are studied to identify the important of each stock in the MST. Our MST and centrality measure show that CIMB was the most influential in the Bursa Malaysia for the pre-MCO period (2018-2019) whereas MAYBANK was the most powerful stock in the Bursa Malaysia during the post-MCO period (2020-2021).