东北大学学报（自然科学版）

东北大学学报:自然科学版 ›› 2014, Vol. 35 ›› Issue (1): 135-138.DOI: 10.12068/j.issn.1005-3026.2014.01.031

• 管理科学 • 上一篇    下一篇

我国股市行业间信息溢出的网络建模与实证研究

黄玮强1，庄新田1，姚爽2   

  1. (1.东北大学 工商管理学院， 辽宁 沈阳110819； 2.沈阳化工大学 经济与管理学院， 辽宁 沈阳110142)
  • 收稿日期:2013-01-04 修回日期:2013-01-04 出版日期:2014-01-15 发布日期:2013-07-09
  • 通讯作者: 黄玮强
  • 作者简介:黄玮强(1982-)，男，福建长汀人，东北大学副教授，博士；庄新田(1956-)，男，吉林四平人，东北大学教授，博士生导师.
  • 基金资助:
    国家自然科学基金资助项目(71001022，71371044，71201108，71271047)；中国博士后科学基金资助项目(20100471460)；中央高校基本科研业务费专项资金资助项目(N110406009).

Network Modeling and Empirical Study of Information Spillover Among Industries of Chinese Stock Market

HUANG Weiqiang1， ZHUANG Xintian1， YAO Shuang2   

  1. 1. School of Business Administration， Northeastern University， Shenyang 110819， China; 2. School of Economics and Management， Shenyang University of Chemical Technology， Shenyang 110142， China.
  • Received:2013-01-04 Revised:2013-01-04 Online:2014-01-15 Published:2013-07-09
  • Contact: HUANG Weiqiang
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摘要： 结合传统计量经济方法及复杂网络建模分析方法，实证研究了我国股市行业间的信息溢出关系及其影响因素、行业信息溢出能力及其分布.研究发现，收益率期限与行业间信息溢出效应强弱无关；市场因素显著增强了行业间的双向信息溢出效应，同时显著地减弱了单向信息溢出效应；随着市场行情的上涨(下跌)，行业间的信息溢出效应会相应地增强(减弱)；各行业的信息溢出能力呈现尖峰厚尾的分布；此外，最小生成树能够快速而有效地揭示股市行业间的信息溢出规律.

关键词: 股票市场, 行业, 信息溢出, 复杂网络, 最小生成树

Abstract: By integrating the traditional econometrical methods with the complex network modeling and analyzing methods， the information spillover relationships among industries of Chinese stock market and the individual industry information spillover abilities as well as their distributions were empirically studied. The results indicated that the returns term does not exert any effect on the information spillover among industries. The market factors significantly strengthen the bilateral information spillover effects among industries and significantly weaken the unilateral information spillover effects among industries. The information spillover effects tend to be strengthened or weakened with the ups and downs of the market. The individual industry’s information spillover ability takes on the distribution of a higher peak and a fat tail. Furthermore， with the MST (minimal spanning tree) method， the rules of information spillover among industries can be found quickly and effectively.

Key words: stock market, industry, information spillover, complex network, minimal spanning tree

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