Knowledge Commons of Institute of Automation,CAS
Analyzing the dynamic sectoral influence in Chinese and American stock markets | |
Tian, Hu1,2; Zheng, Xiaolong1,2; Zeng, Daniel Danjun1,2,3 | |
发表期刊 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS |
ISSN | 0378-4371 |
2019-12-15 | |
卷号 | 536页码:15 |
摘要 | In this paper, we mainly focus on examining the sectoral influence on fine time scales in the Chinese and American stock markets. Based on the dataset regarding the 10 sector indices, we construct the sectoral-level causal networks by incorporating the empirical mode decomposition into Granger causal test and find that the most influential sectors on different time scales are almost different except that industrial sector has prominent influence on all time scales in the Chinese stock markets. We further confirm that the influence of dominant sectors on different time scale is stable both in the Chinese and American stock markets. Especially, we investigate the periods of some extreme market events such as the 2008 financial crisis, and obtain that the stock market collapse and soar events can improve the statistical causality of sectors and enhances the linkages among sectors on the long time scale. These findings can provide significant insights for policymakers and investors to understand the underlying differences regarding the dynamic sectoral influence in stock markets of developing and developed countries. (C) 2019 Elsevier B.V. All rights reserved. |
关键词 | Sectoral influence Multi-time scales Causal network Granger causality Empirical mode decomposition |
DOI | 10.1016/j.physa.2019.04.158 |
关键词[WOS] | GRANGER CAUSALITY ; EMD ; INFORMATION ; CLASSIFICATION ; NETWORKS ; FEATURES |
收录类别 | SCI |
语种 | 英语 |
资助项目 | Ministry of Health of China[2017YFC1200302] ; National Key Research and Development Program of China[2016QY02D0305] ; Natural Science Foundation of China[71621002] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71472175] ; Ministry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017ZX10303401-002] ; Natural Science Foundation of China[71472175] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71621002] ; National Key Research and Development Program of China[2016QY02D0305] ; Ministry of Health of China[2017YFC1200302] |
WOS研究方向 | Physics |
WOS类目 | Physics, Multidisciplinary |
WOS记录号 | WOS:000500034900057 |
出版者 | ELSEVIER |
七大方向——子方向分类 | 社会计算 |
国重实验室规划方向分类 | 社会系统建模与计算 |
是否有论文关联数据集需要存交 | 否 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.ia.ac.cn/handle/173211/29380 |
专题 | 多模态人工智能系统全国重点实验室_互联网大数据与信息安全 |
通讯作者 | Zheng, Xiaolong |
作者单位 | 1.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Beijing, Peoples R China 3.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA |
第一作者单位 | 中国科学院自动化研究所 |
通讯作者单位 | 中国科学院自动化研究所 |
推荐引用方式 GB/T 7714 | Tian, Hu,Zheng, Xiaolong,Zeng, Daniel Danjun. Analyzing the dynamic sectoral influence in Chinese and American stock markets[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,536:15. |
APA | Tian, Hu,Zheng, Xiaolong,&Zeng, Daniel Danjun.(2019).Analyzing the dynamic sectoral influence in Chinese and American stock markets.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,536,15. |
MLA | Tian, Hu,et al."Analyzing the dynamic sectoral influence in Chinese and American stock markets".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 536(2019):15. |
条目包含的文件 | 下载所有文件 | |||||
文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | ||
tian-PhysicaA-2019.p(2694KB) | 期刊论文 | 作者接受稿 | 开放获取 | CC BY-NC-SA | 浏览 下载 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论