金融危机对中国证券网络影响的实证研究

以金融危机前和金融危机下两个不同时期对中国证券网络影响进行了实证研究。结果表明:沪深300证券网络权重分布在危机前后并没有太大变化,但在后金融危机时期,股价波动相关系数主要分布在弱相关区域。影响因子的分布是由危机前的普遍偏大变为危机后的普遍偏小。利用最大生成树所构建的中国证券网络和美国S&P500证券网络在金融危机时期网络层次均变得紧凑;度分布涌现出个别度值很大的Hub节点。沪深300相关性网络的最大社团中行业覆盖面较广,一些有利害关系的产业出现在同一社团中;且危机后的最大社团形态与S&P 500经济平稳时较为相似。

Empirical Study on Chinese Stock Networks Under Financial Crisis

Under the specific academic background combined with the financial crisis period,we empirically investigated the price fluctuations of S&P 500 stock market and CSI 300 stock market.It has been found that the weight distribution of CSI 300 all-connected stock network is relatively smooth under the influence of financial crisis,but the configuration did not change much;IS value appeared some extent of reduction.Maximum spanning tree algorithm is used to establish undirected and unweighted networks to reveal the special market characteristics under financial crisis.The two networks have become more compact and few great hub nodes with large degree value have been presented and majority of these nodes have small degree value before the financial crisis.CSI 300 network has broader coverage in the maximum community.The post-crisis form of CSI 300’s largest community is similar to the pre-crisis form of S&P 500’s largest community.