کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975266 1645118 2014 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analysis of network clustering behavior of the Chinese stock market
ترجمه فارسی عنوان
تجزیه و تحلیل رفتار شبکه خوشه ای بازار سهام چین
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• We show that there exist prominent sector structures.
• Furthermore, the Real Estate (RE) and Commercial Banks (CB) subsectors are mostly anti-correlated.
• We find that while the sector structures are relatively stable from 2007 through 2013.
• We show that this anti-correlation behavior is closely related to the monetary and austerity policies of the Chinese government.

Random Matrix Theory (RMT) and the decomposition of correlation matrix method are employed to analyze spatial structure of stocks interactions and collective behavior in the Shanghai and Shenzhen stock markets in China. The result shows that there exists prominent sector structures, with subsectors including the Real Estate (RE), Commercial Banks (CB), Pharmaceuticals (PH), Distillers&Vintners (DV) and Steel (ST) industries. Furthermore, the RE and CB subsectors are mostly anti-correlated. We further study the temporal behavior of the dataset and find that while the sector structures are relatively stable from 2007 through 2013, the correlation between the real estate and commercial bank stocks shows large variations. By employing the ensemble empirical mode decomposition (EEMD) method, we show that this anti-correlation behavior is closely related to the monetary and austerity policies of the Chinese government during the period of study.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 414, 15 November 2014, Pages 360–367
نویسندگان
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