Liquidity Commonality Effect in Stock Market and Risk Correlation from the Perspective of Complex Network

被引：0
|
作者：
Feng, Haoyuan [1 ,2 ,3 ]
Wu, Jie [4 ]
Guo, Kun [1 ,2 ,3 ]
机构：
[1] Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
[2] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China
[3] Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China
[4] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
来源：
8TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2020 & 2021): DEVELOPING GLOBAL DIGITAL ECONOMY AFTER COVID-19 | 2022年 / 199卷
关键词：
Liquidity; liquidity commonality; systemic risk; stock market; CROSS-SECTION;
D O I：
10.1016/j.procs.2022.01.090
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper uses a complex network method to study the liquidity changes and liquidity commonality effects of the Chinese stock market in the two crises of 2015 and 2020. Liquidity indicator and liquidity commonality indicator-the average weighted degree are calculated to revel the risk characteristic of the two crisis. By comparing the two crisis, main conclusions are obtained: Highly leveraged transactions and excess macro-liquidity may lead to the good liquidity condition and the stronger commonality effect in 2015; Besides, the average weighted degree better reflects the systemic risks in a way of revealing the liquidity risk faced by the system. (C) 2021 The Authors. Published by Elsevier B.V.
引用
收藏
页码：725 / 732
页数：8
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