我国股票关联网络拓扑结构与网络弹性关系研究

Study on the Relationship between Structure and Resilience of Chinese Stock Correlation Network

从复杂网络的视角出发,运用我国沪深A股2002-2012年的数据,建立动态演化的加权股票关联网络,分析网络的拓扑结构特征、网络弹性及其影响因素。研究发现：网络各关联结构指标间存在显著的线性相关关系;股票间的平均价格波动关联性越大,网络越小且呈现出越强的局部聚集性;各关联结构指标与市场走势间具有较强的相关关系;平均聚集系数越大、点强度分布越有序、股票收益率越高及收益率的波动性越小,网络弹性越强、股票间的价格波动关联结构及模式就越稳定。

Utilizing the closing price of A shares in Shanghai and Shenzhen stock market from 2002 to 2012, we establish the dynamic weighted stock correlation networks from the perspective of complex network, and analyze the topology structures, resilience and its influencing factors. The empirical results demonstrate that the topology structures are highly linearly correlated. The higher the average price fluctuation correlation among the stocks, the smaller and highly clustered are the networks. The topology structures and market trends have strong relationships. The clustering coefficient and stock returns are positively correlated with resilience, and the node entropy and stock return volatility are negatively correlated with resilience.