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Analyzing the dynamic sectoral influence in Chinese and American stock markets

文献类型：期刊论文

作者Tian, Hu1,3; Zheng, Xiaolong1,3; Zeng, Daniel Danjun1,2,3
刊名PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
出版日期2019-12-15
卷号536页码:15
关键词Sectoral influence Multi-time scales Causal network Granger causality Empirical mode decomposition
ISSN号0378-4371
DOI10.1016/j.physa.2019.04.158
通讯作者Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
英文摘要In this paper, we mainly focus on examining the sectoral influence on fine time scales in the Chinese and American stock markets. Based on the dataset regarding the 10 sector indices, we construct the sectoral-level causal networks by incorporating the empirical mode decomposition into Granger causal test and find that the most influential sectors on different time scales are almost different except that industrial sector has prominent influence on all time scales in the Chinese stock markets. We further confirm that the influence of dominant sectors on different time scale is stable both in the Chinese and American stock markets. Especially, we investigate the periods of some extreme market events such as the 2008 financial crisis, and obtain that the stock market collapse and soar events can improve the statistical causality of sectors and enhances the linkages among sectors on the long time scale. These findings can provide significant insights for policymakers and investors to understand the underlying differences regarding the dynamic sectoral influence in stock markets of developing and developed countries. (C) 2019 Elsevier B.V. All rights reserved.
WOS关键词GRANGER CAUSALITY ; EMD ; INFORMATION ; CLASSIFICATION ; NETWORKS ; FEATURES
资助项目Natural Science Foundation of China[71472175] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71621002] ; Ministry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017YFC1200302] ; National Key Research and Development Program of China[2016QY02D0305]
WOS研究方向Physics
语种英语
WOS记录号WOS:000500034900057
出版者ELSEVIER
资助机构Natural Science Foundation of China ; Ministry of Health of China ; National Key Research and Development Program of China
源URL[http://ir.ia.ac.cn/handle/173211/29379]  
专题自动化研究所_复杂系统管理与控制国家重点实验室_互联网大数据与安全信息学研究中心
通讯作者Zheng, Xiaolong
作者单位1.Univ Chinese Acad Sci, Beijing, Peoples R China
2.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA
3.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Tian, Hu,Zheng, Xiaolong,Zeng, Daniel Danjun. Analyzing the dynamic sectoral influence in Chinese and American stock markets[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,536:15.
APA Tian, Hu,Zheng, Xiaolong,&Zeng, Daniel Danjun.(2019).Analyzing the dynamic sectoral influence in Chinese and American stock markets.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,536,15.
MLA Tian, Hu,et al."Analyzing the dynamic sectoral influence in Chinese and American stock markets".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 536(2019):15.

入库方式： OAI收割

来源：自动化研究所

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