Study on topology characters of Shanghai and Shenzhen stock correlation network

被引：0

作者：

Huang, Wei-qiang ^{[1
]}

Zhuang, Xin-ling ^{[1
]}

机构：

[1] Northeastern Univ, Sch Business Adm, Shenyang 110004, Peoples R China

来源：

PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON SYSTEM MANAGEMENT | 2008年

关键词：

stock correlation network; topology character; price fluctuation; liquidity;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The complex network theory is a powerful tool for study on inner structure and function of stock market. Based on stock price fluctuation and liquidity correlation respectively, this paper use the threshold method to construct Shanghai and Shenzhen stock correlation network, and study the topology characters of it. The empirical study results demonstrate: the price fluctuation (liquidity) among most stocks change in the same direction. Under certain threshold, the correlation network has "small-world" effect. It shows the price fluctuation or changes of liquidity of one stock can easily infect other stocks in the market. At the same time, this infection is easier and more violent inside stock cliques. Under certain threshold, the correlation networks are scale-free, which shows the existence of a small quantity of stocks with relatively powerful market influence ability. These stocks are important for the whole networks' price fluctuation (liquidity) correlation. The results of this paper can be used as guidelines for risk management of stock investment portfolio.

引用

页码：390 / 397

页数：8

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