Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market

doi:10.1016/j.physa.2020.124655

CASIA OpenIR > 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

	Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
	Chen, Hanxiao 1,2,3; Zheng, Xiaolong1,2 ; Zeng, Daniel Dajun1,2,4
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
	2020-10-01
卷号	555 页码:14
通讯作者	Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
摘要	The 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.
关键词	Stock co-movement Spatial-temporal patterns Triangulated Maximally Filtered Graph Exponential weighted Pearson correlation
DOI	10.1016/j.physa.2020.124655
关键词[WOS]	LOCATION
收录类别	SCI
语种	英语
资助项目	Ministry 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]
项目资助者	Ministry of Health of China ; Natural Science Foundation of China ; National Key Research and Development Program of China
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000540724200007
出版者	ELSEVIER
七大方向——子方向分类	社会计算
引用统计	被引频次：5[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.ia.ac.cn/handle/173211/39807
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.Brown Univ, Data Sci Initiat, Providence, RI 02912 USA 4.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	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.