Network analysis of Shanghai sector in Chinese stock market based on Partial Correlation

摘要：

The stock price of a given company is not only affected by its fundamentals and other associated listed companies, but also influenced by the fluctuation of the stock market index. Network analysis methods can be used to analysis net correlations between stocks. This paper constructs minimum spanning tree (MST) and hierarchical tree (HT) of stocks of shanghai sector traded in Shanghai Stock Exchange based on Partial Correlation Coefficients between stocks, deleting the impacts of Shanghai Composite Index. Then the distribution features of stocks are analyzed. Furthermore, Partial Correlation Coefficients and Simple Correlation Coefficients are applied to constructing MST of stocks, the empirical results are compared and we find that Partial Correlation Coefficient is a better choice when constructing network of stocks.

关键词： Partial Correlation Coefficient clustering minimum spanning tree hierarchical tree

作者: Jie Zhang Yejun Chen Dongsheng Zhai

作者单位: Economics and Management SchoolBeijing University of TechnologyBeijing, China Economics and Management School Beijing University of Technology Beijing, China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information Management and Engineering(2010年IEEE第二届信息管理与工程国际会议 IEEE ICIME 2010)

会议地点: 成都

会议语种:英文

页码: 1-4

在线出版日期: 2010-04-16（万方平台首次上网日期，不代表论文的发表时间）