Research On Causality Of Stock Price Fluctuation In China’s Environmental Protection Industry Based On Phase Space Reconstruction

With the enhancement of people’s awareness of environmental protection,the enhancement of government’s environmental protection efforts,and the increase of national attention and investment,China’s environmental protection industry has developed rapidly in the past decade.The stock market has also become a key area of investors’ attention.Exploring the cause and effect of the price fluctuation in the environmental protection industry can reveal the characteristics of the price fluctuation in the environmental protection industry,and help managers better monitor and manage the market,It can also provide a reference for investors in the stock market of the environmental protection industry to better carry out portfolio investment.In this paper,the daily closing prices of all environmental protection listed companies from 2012 to 2021 are selected as the research objects.The modal causality analysis method based on phase space reconstruction and symbolic dynamics is used to calculate the causality strength between stocks,and three kinds of positive,negative and dark causality between stocks are obtained.The strength and symmetry of different causality are analyzed,We find the dominant relationship between stocks and find the stocks and stock pairs that play an important role in the causal relationship.In order to study the evolution characteristics of causality,the concept of sliding window is introduced to divide time into 19 windows,and the causality under each window is calculated.With the help of complex network method,taking stock as the node,the causality strength as the weight,and the arrow pointing to the stock whose price is affected,three kinds of positive,negative and dark causality networks at various stages are constructed.The evolution of different causality is explored through the evolution of network characteristics.Finally,in order to explore the reasons and practical significance behind this causal relationship,on the one hand,the similarity of financial indicators of each company is measured by means of the gray correlation degree method,and the relationship between the two is explored by comparing with the causal relationship;On the other hand,the position of each stock in the environmental protection industry is divided.Combined with the characteristics of causality,the practical significance of causality fluctuation in the industry is expounded.The results show that the stock volatility of the environmental protection industry is dominated by positive causality,and the influence of both parties on each other is not completely symmetrical in intensity and direction;In the positive causal relationship,the price causal transmission between stocks in different links usually occurs in different fields,and the price transmission in the same field mostly occurs in the same link.The transmission range of negative causal fluctuation is wider,and the stocks in each link will be affected by the stocks from other links as well as other stocks.In addition,stocks in the field of water affairs and water treatment and stocks in the downstream have relatively strong influence and influence,while stocks in the upstream and atmospheric treatment have relatively weak causal effect.