基于图模型方法的我国股市网络结构分析

Network Structural Analysis on China Stock Market Based on Graphical Modeling

提出基于图模型的网络结构识别方法,并应用于我国深证行业股票指数.图中的点表示行业股票收益率,边表示存在相依关系,建立带有权重的我国股市社会网络模型,并计算网络密度和中心度等特征.实证结果表明,地产、建筑和金融指数关联性较强,制造指数、IT指数、水电指数和地产指数在网络中起着引领作用.市场行情阶段分析,证实我国股票网络结构密度熊市要高于牛市.

The network structure recognition method based on graph model is proposed in this paper and applied in China’s Shenzhen Industrial Stock Index. The nodes in the graph represent the industry stock returns, and the edges indicate a dependency relationship. The social network model in China’s stock market with weights is therefore established and followed by the network density and the characteristics of centrality. Empirical results show that real estate, architectural industry and financial index linked much stronger, while the manufacturing index, IT index, hydroelectric index and real estate index play a leading role in the network. It is verified in submarket phase analysis that the network density in our stock market structure density in bear market is much higher than in bull market.