沪深两市股权关联网络的社团结构及其稳健性

发布时间：2018-09-02 06:33

【摘要】：建立了上市公司与其主要股东的关联网络,利用实际数据分析了中国股市2001到2010年的总体走势,证明了该网络属于典型的无标度网络,无标度指数的变化显示出从2006年开始上市公司中出现少数度值极大的in-hub节点,而上市公司的主要股东中出现了相对较多的out-hub节点.同时采用加权派系过滤算法分析了网络中3-派系(3-clique)下的社团结构,证实了从2006年开始一些大型国有企业上市后迅速地成为了网络中的核心节点,造成了网络资源重组现象.这同时解释了无标度指数的变化原因.然后通过研究近年来大公司之间的大额投资关系发现:这些大公司不但经历住了全球经济危机的考验,而且上市公司与大型控股公司之间的关系变得更加紧密.分别分析了该网络遇到随机故障和蓄意攻击时的稳健性.其中2008年中国受国际经济危机的影响正好与网络出现随机故障的情况类似,分析表明此时中国股市表现出强健的鲁棒性;但若对整个网络进行蓄意攻击,网络则明显表现出极强的脆弱性.
[Abstract]:The related network of listed companies and their main shareholders is established, and the general trend of Chinese stock market from 2001 to 2010 is analyzed by using the actual data. It is proved that the network belongs to a typical scale-free network. The change of scale-free index shows that there are a few in-hub nodes with great value in listed companies since 2006, while relatively more out-hub nodes appear in the main shareholders of listed companies. At the same time, the weighted factional filtering algorithm is used to analyze the community structure under 3- factional (3-clique) network. It is proved that some large state-owned enterprises have become the core nodes of the network since 2006, resulting in the reorganization of network resources. This also explains the change of scale-free index. Then through the study of the large investment relationship between the big companies in recent years, it is found that these large companies not only survived the test of the global economic crisis, but also the relationship between listed companies and large holding companies has become closer. The robustness of the network against random faults and deliberate attacks is analyzed respectively. Among them, China was affected by the international economic crisis in 2008, which is similar to the random failure of the network. The analysis shows that the Chinese stock market shows robust robustness at this time; but if the whole network is deliberately attacked, The network, on the other hand, clearly shows extreme vulnerability.
【作者单位】：辽宁大学经济学院;东北大学工商管理学院;东北大学机械工程与自动化学院;
【基金】：国家自然科学基金(70901017) 教育部人文社会科学青年基金(10YJC790253)
【分类号】：F832.51;F224

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