Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market

doi:10.1016/j.physa.2020.124655

CORC > 自动化研究所 > 中国科学院自动化研究所 > 复杂系统管理与控制国家重点实验室 > 互联网大数据与安全信息学研究中心

	Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
	Chen, Hanxiao 1,2,4; Zheng, Xiaolong 1,4; Zeng, Daniel Dajun 1,3,4
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2020-10-01
卷号	555 页码:14
关键词	Stock co-movement Spatial-temporal patterns Triangulated Maximally Filtered Graph Exponential weighted Pearson correlation
ISSN号	0378-4371
DOI	10.1016/j.physa.2020.124655
通讯作者	Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
英文摘要	The regional financial turbulence might result in the collapse of the whole financial system and could even subsequently burden the international financial markets. In this study, we mainly focus on investigating the interdependence of stocks and understanding the co-movement and its spatial-temporal patterns in Chinese stock market. Our empirical results demonstrate that the extent of co-movement between two provinces is positively influenced by their GDP on average, and negatively affected by dissimilarity of the economic structure. By constructing the Triangulated Maximally Filtered Graph and hierarchical tree, we find that western region is not as covariant as eastern region while the influence strength of a province is highly associated with its economic strength. Further, we obtain that the stock indices are stably closely connected over time, and provincial indices grow greater during the bull and bear market and move towards the direction opposite to Shanghai Stock Exchange Composite Index during the regular market oscillation period. These findings can provide for policymakers and investors significant insights into understanding the underlying interdependency of stocks and the corresponding economic factors in Chinese financial markets from the spatial-temporal perspective. (C) 2020 Elsevier B.V. All rights reserved.
资助项目	Ministry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017YFC1200302] ; Natural Science Foundation of China[71472175] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71621002] ; National Key Research and Development Program of China[2016QY02D0305]
WOS关键词	LOCATION
WOS研究方向	Physics
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:000540724200007
资助机构	Ministry of Health of China ; Natural Science Foundation of China ; National Key Research and Development Program of China
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/39806]
专题	自动化研究所_复杂系统管理与控制国家重点实验室_互联网大数据与安全信息学研究中心
通讯作者	Zheng, Xiaolong
作者单位	1.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China 2.Brown Univ, Data Sci Initiat, Providence, RI 02912 USA 3.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA 4.Univ Chinese Acad Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Chen, Hanxiao,Zheng, Xiaolong,Zeng, Daniel Dajun. Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,555:14.
APA	Chen, Hanxiao,Zheng, Xiaolong,&Zeng, Daniel Dajun.(2020).Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,555,14.
MLA	Chen, Hanxiao,et al."Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 555(2020):14.