A network perspective of comovement and structural change: Evidence from the Chinese stock market

doi:10.1016/j.irfa.2021.101782

	A network perspective of comovement and structural change: Evidence from the Chinese stock market
	Huang, Chuangxia 4,5; Deng, Yunke 4,5; Yang, Xiaoguang 3; Cao, Jinde 1,2; Yang, Xin 4,5
刊名	INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
	2021-07-01
卷号	76 页码:18
关键词	Chinese stock market Comovement Complex network Engle-Granger test Weighted LeaderRank algorithm
ISSN号	1057-5219
DOI	10.1016/j.irfa.2021.101782
英文摘要	How to appropriately characterize the comovement between any pair of individual stocks and describe the market comovement structure is a great challenge and plays a key role in understanding emerging markets. This paper applies the complex network approach to deal with this issue for the Chinese stock market. Firstly, in view of the topological properties, we investigate the time-varying comovement between individual stocks by constructing 14 directed weighted stock networks. Furthermore, the weighted LeaderRank algorithm is employed to describe the comovement structure of the entire market. Most importantly, from the perspective of fundamental factors and industry factors, we reveal the driving factors of the comovement and structural change of the entire market. The empirical results suggest that: (i) Stocks with higher weighted LeaderRank algorithm scores generally have more long-term investment value; and the so-called views, "too big to fail"and "too connected to fail", are further confirmed. (ii) ROE, BMratio and Growth are significantly positively correlated with the comovement between individual stocks, and Mvalue is significantly negatively correlated during normal periods. However, during the crisis, the signs of regression coefficients of above four explanatory variables are reversed. (iii) In normal periods, we only find that the agriculture, forestry, animal husbandry & fishery and composite have significant influence on the comovement structure of the entire market. Besides, public utilities and medias also have a significant impact during the crisis. In addition, a very interesting fact in point is that network density, average clustering coefficient, and global efficiency can provide an "early warning"for possible upcoming crises.
资助项目	National Natural Science Foundation of China[71850008] ; National Natural Science Foundation of China[71471020] ; Natural Science Foundation of Hunan Province, China[2019JJ50650] ; Scientific Research Foundation of Hunan Provincial Education Department, China[18C0221]
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE INC
WOS记录号	WOS:000670127400016
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58887]
专题	中国科学院数学与系统科学研究院
通讯作者	Yang, Xin
作者单位	1.Yonsei Univ, Yonsei Frontier Lab, Seoul 03722, South Korea 2.Southeast Univ, Sch Math, Nanjing 210096, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China 4.Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Hunan, Peoples R China 5.Changsha Univ Sci & Technol, Sch Math & Stat, Changsha, Peoples R China
推荐引用方式 GB/T 7714	Huang, Chuangxia,Deng, Yunke,Yang, Xiaoguang,et al. A network perspective of comovement and structural change: Evidence from the Chinese stock market[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,2021,76:18.
APA	Huang, Chuangxia,Deng, Yunke,Yang, Xiaoguang,Cao, Jinde,&Yang, Xin.(2021).A network perspective of comovement and structural change: Evidence from the Chinese stock market.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,76,18.
MLA	Huang, Chuangxia,et al."A network perspective of comovement and structural change: Evidence from the Chinese stock market".INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 76(2021):18.