东北大学学报（自然科学版）

东北大学学报:自然科学版 ›› 2015, Vol. 36 ›› Issue (10): 1516-1520.DOI: 10.3969/j.issn.1005-3026.2015.10.032

• 管理科学 • 上一篇    

我国股票市场拓扑性及加权网络中行业主导性分析

金秀， 姜超， 孟婷婷， 庄霄威   

  1. (东北大学 工商管理学院， 辽宁 沈阳110819)
  • 收稿日期:2014-11-28 修回日期:2014-11-28 出版日期:2015-10-15 发布日期:2015-09-29
  • 通讯作者: 金秀
  • 作者简介:金秀(1963-)，女，辽宁沈阳人，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(71271047).

Topology Property and Industry Dominance in Weighted Network for China’s Stock Market

JIN Xiu， JIANG Chao， MENG Ting-ting，ZHUANG Xiao-wei   

  1. School of Business Administration， Northeastern University， Shenyang 110819， China.
  • Received:2014-11-28 Revised:2014-11-28 Online:2015-10-15 Published:2015-09-29
  • Contact: JIANG Chao
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摘要： 采用聚类算法得到最小生成树，研究不同行业股票的拓扑性结构.在加权复杂网络模型的基础上，建立了考虑网络时变特点的动态加权网络模型.利用上证180指数作为研究样本，研究中国股票市场的行业主导性.实证结果表明:我国证券市场存在明显的聚集性，相同行业股票具有相似的特点；金融保险和制造业行业相对更加活跃，其他行业股票价格更容易受到这两种行业股票价格的影响；证券市场中行业的主导性会随着时间的变化而改变，新兴行业逐渐占据行业的主导地位.

关键词: 行业主导性, 聚类系数, 最小生成树, 拓扑性, 加权网络

Abstract: The minimum spanning tree was constructed by using the clustering algorithm， which was used to study the topological structure of various industries. Based on the weighted network model， a dynamic weighted network model considering the characteristic of time variation was developed. Taking the SSE 180 index as sample， the market dominance of the Chinese stock market was studied. The empirical results showed that the Chinese stock market has notable aggregation， and the same industry stocks have similar characteristics. The finance/insurance and the manufacturing industry are relatively more active， and the prices of others are more susceptible to these two industries. The leading industry in the stock market will change with the time， and the emerging industry gradually dominates the overall industry.

Key words: industry dominance；clustering coefficient；minimum spanning tree, topological property, weighted network

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