Evolutions of fluctuation modes and inner structures of global stock markets
文献类型：期刊论文
| 作者 | Yan, Y; Wang, L; Liu, MX; Chen, XS ; Liu, MX (reprint author), Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China.
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| 刊名 | INTERNATIONAL JOURNAL OF MODERN PHYSICS B
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| 出版日期 | 2016 |
| 卷号 | 30期号:32页码:1650237 |
| 关键词 | Global Stock Market Covariance Matrix Principle Fluctuation Mode Analysis Complex Network |
| DOI | http://dx.doi.org/10.1142/S0217979216502374 |
| 英文摘要 | The paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries' locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets. |
| 学科主题 | Physics |
| 语种 | 英语 |
| 源URL | [http://ir.itp.ac.cn/handle/311006/21453]  |
| 专题 | 理论物理研究所_理论物理所1978-2010年知识产出 |
| 通讯作者 | Liu, MX (reprint author), Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China. |
| 推荐引用方式 GB/T 7714 | Yan, Y,Wang, L,Liu, MX,et al. Evolutions of fluctuation modes and inner structures of global stock markets[J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS B,2016,30(32):1650237. |
| APA | Yan, Y,Wang, L,Liu, MX,Chen, XS,&Liu, MX .(2016).Evolutions of fluctuation modes and inner structures of global stock markets.INTERNATIONAL JOURNAL OF MODERN PHYSICS B,30(32),1650237. |
| MLA | Yan, Y,et al."Evolutions of fluctuation modes and inner structures of global stock markets".INTERNATIONAL JOURNAL OF MODERN PHYSICS B 30.32(2016):1650237. |
入库方式： OAI收割
来源：理论物理研究所
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