KMS Of Academy of mathematics and systems sciences, CAS
Dynamic network topology and market performance: A case of the Chinese stock market | |
Huang, Chuangxia1; Zhao, Xian1; Su, Renli1; Yang, Xiaoguang2; Yang, Xin1 | |
2020-09-04 | |
发表期刊 | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS |
ISSN | 1076-9307 |
页码 | 17 |
摘要 | After the subprime mortgage crisis, plenty of abnormal market performance indicates that financial markets can be regarded as complex systems and it's time to break through some classical models. To tackle the issue, we propose novel complex networks methods to identify financial crises and explain some performance of the Chinese stock market. Firstly, we use the daily closing prices to construct the dynamical complex networks and their minimum spanning tree (MST) maps. Secondly, we characterize topological evolution of dynamical MSTs by employing normalized tree length, node degree distribution, centrality measures, node strength distribution and edge survival ratios. Furthermore, empirical analyses show that: (i) the normalized tree length can be used to identify financial crises, it declines sharply in the run-up to, and during the financial crisis, and increases rapidly afterwards; (ii) the normalized tree length is positively correlated with market return and negatively correlated with market tail risk and volatility; (iii) the closeness centrality of most stocks is significantly negatively correlated with individual returns and positively correlated with individual volatility; (iv) the node degree and node strength in most of MSTs follow the power-law distribution; (v) the edge survival ratio analysis indicates that the dependence structure of the Chinese stock market is relatively stable. |
关键词 | Chinese stock market complex network financial crises market performance minimum spanning tree |
DOI | 10.1002/ijfe.2253 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Natural Science Foundation of China[11971076] ; National Natural Science Foundation of China[71850008] ; International Cooperation and Expansion Project of Double First-Class of CSUST[2019IC37] ; Double First-Class Construction Project of CSUST in 2020[23/04] ; Natural Science Foundation of Hunan Province[2019JJ50650] ; Scientific Research Foundation of Hunan Provincial Education Department[18C0221] |
WOS研究方向 | Business & Economics |
WOS类目 | Business, Finance |
WOS记录号 | WOS:000565759900001 |
出版者 | WILEY |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/52076 |
专题 | 系统科学研究所 |
通讯作者 | Yang, Xin |
作者单位 | 1.Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Sch Math & Stat, Changsha 410114, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
推荐引用方式 GB/T 7714 | Huang, Chuangxia,Zhao, Xian,Su, Renli,et al. Dynamic network topology and market performance: A case of the Chinese stock market[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,2020:17. |
APA | Huang, Chuangxia,Zhao, Xian,Su, Renli,Yang, Xiaoguang,&Yang, Xin.(2020).Dynamic network topology and market performance: A case of the Chinese stock market.INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,17. |
MLA | Huang, Chuangxia,et al."Dynamic network topology and market performance: A case of the Chinese stock market".INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2020):17. |
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