| 产业关联、共同信息溢出与行业股指联动 |
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| 引用本文： | 乔海曙,李颖,欧阳昕.产业关联、共同信息溢出与行业股指联动[J].系统工程理论与实践,2016,36(11):2737-2751. |
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| 作者姓名： | 乔海曙 李颖 欧阳昕 |
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| 作者单位： | 1. 湖南大学 金融与统计学院, 长沙 410079;2. 中国进出口银行湖南省分行, 长沙 410000 |
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| 基金项目： | 国家社会科学基金重点项目（12AZD035，14AGL016） |
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| 摘 要： | 利用复杂网络与协整分析技术,揭示了2005.01.05-2015.01.30间影响中信行业股指联动的主要因素.结果发现:长期来看,产业关联关系矩阵与行业股指联动关系矩阵的相关系数显著为正,产业关联度正向影响着行业股指的长期联动.短期来看,特定投资主题带来的共同信息溢出与相关行业股指联动之间存在协整关系.因此,完善准入退出与信息披露制度、减少政府干预,对恢复股市之于实体经济"晴雨表"作用,减少股价非理性"同涨同跌"具有重要意义.
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| 关 键 词： | 行业股指联动 产业关联 共同信息溢出 复杂网络 协整分析 |
| 收稿时间： | 2015-09-22 |
Industrial association,common information spill out and industry stock indexes co-movement |
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| QIAO Haishu,LI Ying,OUYANG Xin.Industrial association,common information spill out and industry stock indexes co-movement[J].Systems Engineering —Theory & Practice,2016,36(11):2737-2751. |
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| Authors: | QIAO Haishu LI Ying OUYANG Xin |
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| Institution: | 1. School of Finance and Statistics, Hunan University, Changsha 410079, China;2. The Export-Import Bank of China, Hunan Branch, Changsha 410000, China |
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| Abstract: | This paper uses complex network and co-integration techniques to investigate the major factors which influence CITIC (China International Trust and Investment Corporation) industry indices among 2005.01.05-2015.01.30. The results:In the long run, the industrial association has positive impacts on industry indexes co-movement. In the short term, industries indexes shocked by specific common information have been linked closely. Therefore, improving the information disclosure system and reducing government intervention can reduce stock price irrational co-movement of great significance. |
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| Keywords: | industry stock indexes co-movement industrial association common information spill out complex network co-integration |
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