| 我国证券市场波动性与流动性的复杂网络特性 |
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| 引用本文： | 刘喆,庄新田,付佳.我国证券市场波动性与流动性的复杂网络特性[J].东北大学学报(自然科学版),2011,32(11):1663-1667. |
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| 作者姓名： | 刘喆 庄新田 付佳 |
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| 作者单位： | 东北大学工商管理学院,辽宁沈阳,110819 |
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| 基金项目： | 国家自然科学基金资助项目(70871022) |
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| 摘 要： | 分别基于股票价格波动相关性、流动性相关性,运用阈值法构建了我国沪深股票市场股票关联网络,研究网络的拓扑特征.实证研究表明:股票之间的价格波动和流动性大多呈同向变动趋势;在一定的阈值区间内,股票关联网络具有小世界性,表明单个股票价格波动或流动性的增减,可以通过网络传染给其他股票,同时这种传播在集团内部更为容易;并且在特定阈值区间内,股票关联网络的度分布具有无标度性,说明我国股票市场中存在少量的具有较大市场影响能力的股票,它们对网络的整体价格波动(流动性)关联起着重要作用.实证研究结果对股票投资组合风险管理具有一定的指导意义.
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| 关 键 词： | 股票关联网络 复杂网络 相关系数 拓扑特征 稳定性 |
Complex Network Characteristics Studies on Volatility and Liquidity of Stock Market in China |
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| LIU Zhe,ZHUANG Xin-tian,FU Jia.Complex Network Characteristics Studies on Volatility and Liquidity of Stock Market in China[J].Journal of Northeastern University(Natural Science),2011,32(11):1663-1667. |
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| Authors: | LIU Zhe ZHUANG Xin-tian FU Jia |
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| Institution: | LIU Zhe,ZHUANG Xin-tian,FU Jia(School of Business Administration,Northeastern University,Shenyang 110819,China.) |
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| Abstract: | Based on the relevances of stock price volatility and liquidity,a threshold method to build a stock correlation network of Shanghai and Shenzhen stock market,and a study on the topological characteristics of this network were conducted.Empirical study showed that the prices volatility and liquidity among stocks mostly have the same change trend;in a certain range of threshold values,the stock correlation network has the characteristics of small world,namely,the change of a single stock's price volatility or... |
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| Keywords: | stock correlation network complex networks correlation coefficient topological characteristics stability |
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