股票市场稳定性测度及其作用机制——基于复杂网络模型视角的分析

Measurement of Stability of Stock Market and Its Mechanism: From Complex Network Structure Perspective

本文基于2005年1月—2016年6月沪深300指数成分股的5分钟高频交易数据,使用网络模型方法对我国股票市场稳定性的测度及作用机制问题进行了考察。结果表明,我国股票市场网络的稳定性呈下降趋势,既有上市公司数量增加方面的原因,也有宏观经济波动所带来的影响。宏观经济比网络结构对股票市场异常波动更具有解释力,两者的预测效果都较为显著。监管机构应当密切关注影响我国股票市场稳定的内外在因素,积极防范金融网络结构的风险溢出效应,不断完善金融体系系统性风险的动态监管机制。

This paper constructs a financial network based on the data of Shanghai and Shenzhen 300 constituent stocks, measures the stability of China＇ s stock market, and analyzesits mechanism based on the network model method. Results show that the stability of China＇ s financial system network is declining year by year because of the influence of the increase in the number of listed companies and the impact of macroeconomic factors. For the abnormal fluctuations in the stock market, the macroeconomic economy is more explanatory than the financial network structure, but both are significant in the prediction of abnormal fluctuation. Regulators should pay close attention to the internal and extemal factors of China＇ s stock market stability, prevent the risk spillover effect of the financial network structure, and constantly improve the dynamic regulation mechanism of the systemic risk.