中国股市区域相依关系及其动态演化研究——以2015年股灾为分析背景

The Regional Dependence of China′s Stock Market and Its Dynamic Evolution Based on the Background of the Stock Market Crash in 2015

通过计算中国31个地区之间股票区域指数的互信息,分析在2015年股灾及其前后时间内,中国股市区域间的相依关系,并采用滑动窗口方法分析该关系的演化。研究发现,在股灾期间,各区域指数的相依关系急剧增加,且在4个期间中达到最大;在中国各区域之间,股市的地理聚类现象并不明显,与其他区域联系最为广泛的是山东、江苏和浙江;广东、上海、北京3个区域彼此之间始终保持着较强的联系,但与其他区域之间的联系较少。

This paper studies the regional dependence of China’s stock during the stock market crash before,during and after 2015 by calculating the mutual information of regional stock indexes among 31 regions,and analyses its dynamic evolution by using the method of rolling window.It is found that during the stock market crash,the dependence of stock market has increased sharply and it reaches the maximum value.It is also found that geographical clustering is not obvious among regions in China,and for Shandong,Jiangsu and Zhejiang,there are the most extensive links with other regions.For Guangdong,Shanghai and Beijing,there are strong links among these three regions,but weak links with other regions.