我国股票市场拓扑性及加权网络中行业主导性分析
发布时间：2018-12-16 09:44
【摘要】：采用聚类算法得到最小生成树,研究不同行业股票的拓扑性结构.在加权复杂网络模型的基础上,建立了考虑网络时变特点的动态加权网络模型.利用上证180指数作为研究样本,研究中国股票市场的行业主导性.实证结果表明:我国证券市场存在明显的聚集性,相同行业股票具有相似的特点;金融保险和制造业行业相对更加活跃,其他行业股票价格更容易受到这两种行业股票价格的影响;证券市场中行业的主导性会随着时间的变化而改变,新兴行业逐渐占据行业的主导地位.
[Abstract]:The minimum spanning tree is obtained by clustering algorithm, and the topological structure of stocks in different industries is studied. Based on the weighted complex network model, a dynamic weighted network model considering the time-varying characteristics of the network is established. Using the Shanghai Stock Exchange 180 index as the research sample, this paper studies the industry dominance of Chinese stock market. The empirical results show that: China's securities market has obvious aggregation, the same industry stocks have similar characteristics; The financial insurance and manufacturing industries are relatively more active, and the stock prices of other industries are more vulnerable to the impact of the stock prices of these two industries; The dominant position in the securities market will change with time, and the emerging industry will gradually occupy the dominant position.
【作者单位】： 东北大学工商管理学院;
【基金】：国家自然科学基金资助项目(71271047)
【分类号】：F832.51;F224
[Abstract]:The minimum spanning tree is obtained by clustering algorithm, and the topological structure of stocks in different industries is studied. Based on the weighted complex network model, a dynamic weighted network model considering the time-varying characteristics of the network is established. Using the Shanghai Stock Exchange 180 index as the research sample, this paper studies the industry dominance of Chinese stock market. The empirical results show that: China's securities market has obvious aggregation, the same industry stocks have similar characteristics; The financial insurance and manufacturing industries are relatively more active, and the stock prices of other industries are more vulnerable to the impact of the stock prices of these two industries; The dominant position in the securities market will change with time, and the emerging industry will gradually occupy the dominant position.
【作者单位】： 东北大学工商管理学院;
【基金】：国家自然科学基金资助项目(71271047)
【分类号】：F832.51;F224
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