我国A股市场多层拓扑结构与稳定性研究——基于复杂网络分析方法

Analysis of Multi-layer Topological Structure and Stability of A-Share Market in Chin——Based on Complex Network Analysis Method

以2010年10月至2020年10月的主板、中小板、创业板为研究对象,采用改进的阈值法(P-Threshold)构建多层股票市场网络研究其动态拓扑结构特征,并利用SIRS模型讨论其风险传染机制与网络稳定性。主要研究结论:(1)静态拓扑结构显示我国股票市场联系紧密,股票之间的信息传输与风险传染较为便捷。(2)动态拓扑结构显示各层网络走势一致性较高,网络拓扑指标可以较好地反映市场发展情况并具备一定提前反应能力;从层间分析来看,各层之间存在"分割性"且中小板与创业板相似性最高。(3)高系统性风险下,随机冲击与蓄意冲击均会造成较大影响;低系统性风险下,蓄意冲击影响更大,随机冲击下则出现明显的滞后效应。(4)我国股票市场核心节点的影响因素在不同板块下存在差异,交易量是中小板与创业板的核心指标。

Taking the main board,SME board,and GEM from October 2010 to October 2020 as the research objects,using complex network methods and improved threshold method(P-Threshold)to construct a multi-layer stock market network,and also studying its dynamic topological structure characteristics,and using the SIRS model to discuss its risk contagion mechanism and network stability on this basis.Combining theoretical analysis and empirical research,the main research conclusions are summarized as follows:(1)The static topological structure shows that China’s stock market is closely connected,and the information transmission and risk contagion between stocks are relatively convenient.(2)The dynamic topology structure shows that the network trend of each layer is consistent.The network topology indicators can better reflect the market development and have a certain ability to react in advance;from the analysis of the layers,there is a“segmentation of each layer”,the SME board has the highest similarity with the Chi Next.(3)Under high systemic risks,both random shocks and deliberate shocks will have a greater impact;under low systemic risks,deliberate shocks will have a greater impact than random shocks.(4)The influencing factors of the core nodes of China’s stock market are different in different sectors.Trading volume is the core indicator of the small and medium-sized board and the ChiNext,and high-volume stocks need additional attention in supervision.