中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market

文献类型:期刊论文

作者Chen, Hanxiao2,3,4; Zheng, Xiaolong2,3; Zeng, Daniel Dajun1,2,3
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
DOI10.1016/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/173211/39806]  
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 Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA
2.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China
3.Univ Chinese Acad Sci, Beijing, Peoples R China
4.Brown Univ, Data Sci Initiat, Providence, RI 02912 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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