Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
文献类型:期刊论文
作者 | Chen, Hanxiao1,2,3; Zheng, Xiaolong1,3; Zeng, Daniel Dajun1,3,4 |
刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS |
出版日期 | 2020-10-01 |
卷号 | 555页码:14 |
ISSN号 | 0378-4371 |
关键词 | Stock co-movement Spatial-temporal patterns Triangulated Maximally Filtered Graph Exponential weighted Pearson correlation |
DOI | 10.1016/j.physa.2020.124655 |
通讯作者 | Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn) |
英文摘要 | The regional financial turbulence might result in the collapse of the whole financial system and could even subsequently burden the international financial markets. In this study, we mainly focus on investigating the interdependence of stocks and understanding the co-movement and its spatial-temporal patterns in Chinese stock market. Our empirical results demonstrate that the extent of co-movement between two provinces is positively influenced by their GDP on average, and negatively affected by dissimilarity of the economic structure. By constructing the Triangulated Maximally Filtered Graph and hierarchical tree, we find that western region is not as covariant as eastern region while the influence strength of a province is highly associated with its economic strength. Further, we obtain that the stock indices are stably closely connected over time, and provincial indices grow greater during the bull and bear market and move towards the direction opposite to Shanghai Stock Exchange Composite Index during the regular market oscillation period. These findings can provide for policymakers and investors significant insights into understanding the underlying interdependency of stocks and the corresponding economic factors in Chinese financial markets from the spatial-temporal perspective. (C) 2020 Elsevier B.V. All rights reserved. |
WOS关键词 | LOCATION |
资助项目 | Ministry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017YFC1200302] ; Natural Science Foundation of China[71472175] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71621002] ; National Key Research and Development Program of China[2016QY02D0305] |
WOS研究方向 | Physics |
语种 | 英语 |
出版者 | ELSEVIER |
WOS记录号 | WOS:000540724200007 |
资助机构 | Ministry of Health of China ; Natural Science Foundation of China ; National Key Research and Development Program of China |
源URL | [http://ir.ia.ac.cn/handle/173211/39756] |
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.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China 2.Brown Univ, Data Sci Initiat, Providence, RI 02912 USA 3.Univ Chinese Acad Sci, Beijing, Peoples R China 4.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA |
推荐引用方式 GB/T 7714 | Chen, Hanxiao,Zheng, Xiaolong,Zeng, Daniel Dajun. Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,555:14. |
APA | Chen, Hanxiao,Zheng, Xiaolong,&Zeng, Daniel Dajun.(2020).Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,555,14. |
MLA | Chen, Hanxiao,et al."Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 555(2020):14. |
入库方式: OAI收割
来源:自动化研究所
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