Minimal Spanning Tree application to determine market correlation structure

Determining the structure of market correlation is an important topic in theory and experiments. Under impact Covid-19 pandemic, may be deformed. Therefore, this study examines pandemic’s on structure. This considered VN30 portfolio (including 30 stocks with largest capitalization); collecting period from July 28, 2000, to 30, 2021. The data was divided into 02 phases before after pandemic. Kruskal algorithm implemented determine Minimal Spanning Tree (MST) define correlation. compared change pandemic by structures’ mean distances comparison. T-test results show that there are structural differences Based research result, investors should their risk management strategy suit context because previous has been changed.