东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2011, Vol. 32 ›› Issue (11): 1663-1667.DOI: -

• 论著 • 上一篇    下一篇

我国证券市场波动性与流动性的复杂网络特性

刘喆;庄新田;付佳;   

  1. 东北大学工商管理学院;
  • 收稿日期:2013-06-19 修回日期:2013-06-19 发布日期:2013-04-04
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70871022)

Complex network characteristics studies on volatility and liquidity of stock market in China

Liu, Zhe (1); Zhuang, Xin-Tian (1); Fu, Jia (1)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110819, China
  • Received:2013-06-19 Revised:2013-06-19 Published:2013-04-04
  • Contact: Zhuang, X.-T.
  • About author:-
  • Supported by:
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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.

关键词: 股票关联网络, 复杂网络, 相关系数, 拓扑特征, 稳定性

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 liquidity can infect other stocks through the network, and this infection occurs more esasily within the intra-group; in a given range of threshold value, the distribution of stock correlation network is scale-free. In other words, there exist stocks with a few large market impacts in China. They play an important role in the overall price volatility (mobility) correlation of network. The results of empirical study is significant to guide the equity portfolio risk management.

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