Study on Topology Characters of Shanghai and Shenzhen Stock Correlation Network
The complex network theory is a powerful tool for study on inner structure and function of stock market.Based on stock price fluctuation and liquidity correlation respectively,this paper use the threshold method to construct Shanghai and Shenzhen stock correlation network,and study the topology characters of it.The empirical study results demonstrate: the price fluctuation(liquidity)among most stocks change in the same direction.Under certain threshold,the correlation network has small-world effect.It shows the price fluctuation or changes of liquidity of one stock can easily infect other stocks in the market.At the same time,this infection is easier and more violent inside stock cliques.Under certain threshold,the correlation networks are scale-free,which shows the existence of a small quantity of stocks with relatively powerful market influence ability.These stocks are important for the whole networks price fluctuation(liquidity)correlation.The results of this paper can be used as guidelines for risk management of stock investment portfolio.
stock correlation network topology character price fluctuation liquidity
Wei-qiang Huang Xin-ling Zhuang
School of Business Administration,Northeastern University,Shenyang,110004,China Department of Civil Engineering,Jilin Architectural and Civil Engineering Institute,Changchun,130021
国际会议
2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)
上海
英文
390-397
2008-05-30（万方平台首次上网日期，不代表论文的发表时间）