Complex Network Statistics and Dynamic Stability of Shanghai A-shares Earning Ratio
A complex network model of Shanghai A-share market was established to examine network complexity and dynamic stability of the Chinese stock market system.Daily data of 749 stocks from Shanghai A-share market were selected on 1,138 trading days,from May 9,2005 to December 31,2009.October 16,2007 was identified as the division between bull and bear stages,and correlation coefficient between earning ratios of stocks was taken as the minimal spanning tree (MST).Results revealed that (1) the degree distribution indices of Shanghai A-share market network in bull and bear stages were 2.03 and 2.17,respectively; and the network structure of earning ratios of Shanghai A-share market has a scale-free property.(2) Along with the passage of time,the relationship among market players of Shanghai Ashare market becomes closer and industrial clustering becomes evident.(3) Dynamic stability of stock market network is analyzed with the time scale for years (time sequence of correlation coefficient and share distance),and it is found that emergent events have certain impact on this dynamic stability.
Complex network Scale-free network Stock market Dynamic stability
MA Zhuang GU Jing HUANG Feixue
School of Management,Dalian University of Technology,Dalian,China,116024 Department of Economics,Environmental Management College of China,Qinhuangdao,China,066004
国际会议
大连
英文
164-169
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）