基于复杂网络理论的股票市场中金融危机传播研究

发布时间：2018-04-24 19:39

本文选题：金融危机 + 复杂网络　；参考：《哈尔滨工业大学》2014年博士论文

【摘要】：20世纪90年代以来,金融危机频繁爆发,给世界经济带来了多次破坏性的影响。最近几次金融危机都表现出了明显的传播效应,且具有传染速度快,传染范围广、传染渠道多样化、传染机制复杂等特点,因此金融危机传染已经成为了学界研究的热点。目前相关领域的研究文献认为,金融危机在国际间主要通过贸易渠道、金融投资渠道、季风效应以及净传染等方式进行传播,其中的金融投资渠道和贸易渠道是最主要的渠道。在全球经济一体化的背景下,金融危机的迅速传染也让人们认识到,全球的经济体已经组成了一个巨大的复杂网络,应该依托复杂网络相关理论对金融危机的传染进行研究,才能从全局角度把握金融危机的传播特性,以及制定相应的应对策略。本文从复杂网络角度研究金融危机在股票市场中的传播特性,以复杂网络和金融危机传播理论作为理论基础,综合运用了定性分析与定量分析结合的方法,定性分析了金融危机在国际股票市场网络中传播影响因素和传播模型,并实证分析了金融危机在股票市场网络中的传播机制、传播效应度量、以及传播路径和免疫策略等问题。首先,通过对相关文献及相关理论的梳理总结,将复杂网络理论与金融传播理论结合,定性分析了在股票市场网络中金融危机传播的特点和机制,并分析了股票市场网络中对金融危机传播的影响因素,为后文的实证分析和免疫策略制定提供理论支撑。其次,构建了全球股票市场网络的模型,统计分析了网络的部分特征值,通过度分布拟合,得出网络具有无标度属性的结论,并使用阈值法建模的结果进行了验证。随后得到全球股票市场网络的最小生成树图以及层次树图,通过最小生成树图与层次树图的分析,发现网络具有明显的地理聚集效应,存在以地理位置划分的社区,使用滑动窗口技术动态分析了全球股票市场网络的稳定性,发现在危机发生期间网络连接变得更为密集。再次,实证分析了金融危机在股票市场网络中的传播效应。建立了危机传播效应的回归模型,并使用SIS模型研究了在无标度的全球股票市场网络中的基础免疫策略,即应该对度较大的节点进行免疫,并且应该在危机爆发的初期就采取行动阻止危机的传播。随后使用MF-DFA(多重分形去趋势波动分析)方法计算了各个指数不同阶段的Hurst指数,并使用多重分形谱进行了相对风险度分析,分析结果显示,在金融危机期间,亚洲股市受到了净传染的影响较大;而美洲各主要股票指数主要受到了直接和间接金融渠道的传染;欧洲国家主要指数受到两者的影响大致相同,既有由于投资者的羊群效应带来的净传染,也有金融渠道的直接和间接传染。对金融危机的传播效应进行了定量分析,将MF-DFA方法得到的Hurst指数用于计算传播系数,分别计算了节点对网络的传播系数以及网络对节点的传播系数,并分析了金融危机在股票市场网络中传播的路径。最后,基于以上的分析,对全球股票市场中的免疫策略进行了分析,将全球股票市场网络的具体特征与复杂网络理论中常用的免疫策略进行比较,确定应该使用定点免疫策略,并分析了全球股票市场网络的鲁棒性,提出在制定免疫策略时也要根据最小生成树图确定的关键节点和划分的社区进行考虑,同时要注意目标对象可能受到的传染渠道来源。结合中国具体情况,使用中信行业指数对中国股票市场进行建模,得到中国股票市场行业指数的最小生成树图和层次树图,发现网络中存在较为明显的行业聚集效应,并且网络结构在金融危机发生期间变得更为紧密,与全球股票指数网络表现出的特征一致。采用从行业整体角度分析中国股票市场在全球发生金融危机时受到的影响的方式,为中国股票市场的监管和在应对全球性金融危机的冲击时如何制定措施以保证中国股票市场的稳定提供了参考方案。
[Abstract]:Since 1990s, the frequent outbreak of financial crisis has brought many destructive effects to the world economy. The recent financial crisis has shown obvious spread effect, and has the characteristics of fast transmission, wide spread, diversified channels of contagion and complicated transmission mechanism. Therefore, the contagion of the financial crisis has become a study field. The current research literature in the related fields holds that the financial crisis is spread mainly through trade channels, financial investment channels, monsoon effect and net contagion, among which financial investment channels and trade channels are the most important channels. In the context of global economic integration, the rapid transmission of the financial crisis It also makes people realize that the global economy has formed a huge complex network. We should rely on the related theory of complex network to study the transmission of the financial crisis, so as to grasp the transmission characteristics of the financial crisis and formulate corresponding countermeasures from the global perspective. The communication characteristics in the market are based on the theory of complex network and the theory of financial crisis communication. By combining the method of qualitative analysis and quantitative analysis, the influence factors and propagation models of the financial crisis in the international stock market network are qualitatively analyzed, and the spread of the financial crisis in the stock market network is analyzed. Mechanism, propagation effect measurement, communication path and immunization strategy. First, by combing the related literature and related theories, combining the complex network theory with the financial communication theory, the characteristics and mechanisms of the financial crisis in the stock market network are analyzed, and the financial crisis in the stock market network is analyzed. The influencing factors of machine communication provide theoretical support for the empirical analysis of the post and the formulation of immune strategy. Secondly, a model of the global stock market network is constructed, and some eigenvalues of the network are analyzed statistically. The conclusion of the network has no scale attribute by the degree distribution, and the results of the modeling are verified by the threshold method. The minimum spanning tree graph and hierarchical tree graph of the global stock market network are obtained. Through the analysis of the minimum spanning tree graph and the hierarchy tree graph, it is found that the network has obvious geographical aggregation effect. There is a geographical location community. The stability of the global stock market network is dynamically analyzed by the sliding window technique, and the occurrence of the crisis is found. In the meantime, the network connection becomes more intensive. Thirdly, it analyzes the propagation effect of the financial crisis in the stock market network, establishes the regression model of the crisis propagation effect, and uses the SIS model to study the basic immunization strategy in the scale-free global stock market network, that is, it should be immune to the larger nodes and should be immune. It takes action to prevent the spread of the crisis at the beginning of the crisis. Then, the MF-DFA (multifractal detrending wave analysis) method is used to calculate the Hurst index at different stages of the index, and the relative risk degree is analyzed using the multifractal spectrum. The results show that during the financial crisis, the Asian stock market was infected with net contagion. The main stock index of America is mainly affected by direct and indirect financial channels, and the main index of European countries is roughly the same, not only the net contagion from the herd effect of investors, but also the direct and indirect transmission of financial channels. In the analysis, the Hurst index obtained by the MF-DFA method is used to calculate the propagation coefficient. The propagation coefficient of the node to the network and the propagation coefficient of the network to the node are calculated respectively, and the path of the financial crisis in the stock market network is analyzed. Finally, based on the above analysis, the immunization strategy in the global stock market is analyzed. The specific features of the global stock market network are compared with the immune strategies commonly used in the complex network theory, and the fixed-point immunization strategy should be used, and the robustness of the global stock market network is analyzed. It is proposed that the key nodes and the divided communities determined by the minimum spanning tree should be considered when the immunization strategy is formulated. At the same time, we should pay attention to the source of the contagious channel that the target may be subject to. Based on the specific situation of China, we use the CITIC industry index to model the Chinese stock market, get the minimum spanning tree chart and the hierarchical tree chart of the Chinese stock market industry index, and find that there is a more obvious industry aggregation effect in the network, and the network structure is in the finance. The period of the crisis has become more close and consistent with the characteristics of the global stock index network. The way to analyze the impact of the Chinese stock market on the global financial crisis from the perspective of the industry as a whole is to ensure the regulation of the Chinese stock market and how to make measures to deal with the impact of the global financial crisis. The stability of China's stock market provides a reference.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F831.51

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