Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
Chen, Hanxiao1,2,3; Zheng, Xiaolong1,2; Zeng, Daniel Dajun1,2,4
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
2020-10-01
Volume555Pages:14
Corresponding AuthorZheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
AbstractThe regional financial turbulence might result in the collapse of the whole financial system and could even subsequently burden the international financial markets. In this study, we mainly focus on investigating the interdependence of stocks and understanding the co-movement and its spatial-temporal patterns in Chinese stock market. Our empirical results demonstrate that the extent of co-movement between two provinces is positively influenced by their GDP on average, and negatively affected by dissimilarity of the economic structure. By constructing the Triangulated Maximally Filtered Graph and hierarchical tree, we find that western region is not as covariant as eastern region while the influence strength of a province is highly associated with its economic strength. Further, we obtain that the stock indices are stably closely connected over time, and provincial indices grow greater during the bull and bear market and move towards the direction opposite to Shanghai Stock Exchange Composite Index during the regular market oscillation period. These findings can provide for policymakers and investors significant insights into understanding the underlying interdependency of stocks and the corresponding economic factors in Chinese financial markets from the spatial-temporal perspective. (C) 2020 Elsevier B.V. All rights reserved.
KeywordStock co-movement Spatial-temporal patterns Triangulated Maximally Filtered Graph Exponential weighted Pearson correlation
DOI10.1016/j.physa.2020.124655
WOS KeywordLOCATION
Indexed BySCI
Language英语
Funding ProjectMinistry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017YFC1200302] ; 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]
Funding OrganizationMinistry of Health of China ; Natural Science Foundation of China ; National Key Research and Development Program of China
WOS Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000540724200007
PublisherELSEVIER
Citation statistics
Cited Times:4[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.ia.ac.cn/handle/173211/39807
Collection复杂系统管理与控制国家重点实验室_互联网大数据与信息安全
Corresponding AuthorZheng, Xiaolong
Affiliation1.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.Brown Univ, Data Sci Initiat, Providence, RI 02912 USA
4.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA
First Author AffilicationInstitute of Automation, Chinese Academy of Sciences
Corresponding Author AffilicationInstitute of Automation, Chinese Academy of Sciences
Recommended Citation
GB/T 7714
Chen, Hanxiao,Zheng, Xiaolong,Zeng, Daniel Dajun. Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,555:14.
APA Chen, Hanxiao,Zheng, Xiaolong,&Zeng, Daniel Dajun.(2020).Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,555,14.
MLA Chen, Hanxiao,et al."Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 555(2020):14.
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