The Study Of Financial Crisis Contagion In Stock Markets Based On Complex Network Theory

Since the 1990 s, the financial crisis outbreak frequently, and have brought a number of devastating effects to the world economy. Recent financial crises have shown significant contagion effects, and have shown the characteristics of fast speed, wide range of infections, diverse channels of infection, and complex infection mechanisms, so the financial contagion has become a hot academic research field. Current research literature in related fields consider that the financial crisis spread internationally mainly through trade channels, financial investment channels, the monsoon and the net effect of infection, while the financial investment channels and the trade channels are the most important ones. In the context of global economic integration, the rapid infection of financial crisis also raise the awareness that the global economy has formed a huge complex network, and we should rely on complex network theory to study the infection of the financial crisis, in order to grasp the financial crisis contagion characteristics from the global angle, as well as to develop appropriate coping strategies.This paper study the contagion characteristics of the financial crisis in the stock market from the complex networks perspective, use the complex network theory and financial crisis contagion theory as the theoretical basis, use the combination of qualitative and quantitative analysis methods, qualitatively analyze the factors affecting the spread of the financial crisis in the international stock market network and the contagion models, then empirically study the financial crisis contagion mechanisms, contagion effects measure, as well as the contagion path and immunization strategy in the network.Firstly, through the relevant literature and theory review, combing the complex network theory and financial contagion theory, analyze the characteristics and mechanisms of the financial crisis contagion in the stock network qualitatively, then analyze the influencing factors of the financial crisis contagion, build a theoretical base for the later empirical analysis and immunization strategy decision.Secondly, build a model of the global stock markets network, do a statistical analysis of some characteristic values of the network, through the degree distribution fitting, confirm the network is scale-free, then use the results of the threshold modeling method to validate it. Then get the minimum spanning tree diagram and hierarchical tree diagram of the global stock markets, through analyzing of these diagrams, find that the network has obvious geographical aggregation effect, and geographically divided communities existed, then use the slide window technique to dynamically analyze the stability of the global stock market network, find that the network becomes more dense during the crisis periodThird, empirically analyze the contagion effects of the financial crisis in the stock market network. Build a regression model of financial contagion effects, and studied the basic immunization strategies in the scale-free global stock networks on the basis of the SIS model, which is to immune the nodes with big degrees, and should take action at the beginning of the crisis to prevent the spread of the crisis. Then use the MF-DFA(multi-fractal detrended fluctuation analysis) method to calculate the Hurst exponents of various indices at different stages, and use the multi-fractal spectrum to do a relative risk analysis. The results showed that during the financial crisis, the Asian markets was more infected by the pure infection, while America’s major stock indices mainly by direct and indirect financial channels of infection; European countries affected by the two substantially the same, both because of the pure infection brought by investors’ herding behavior and the direct and indirect transmission of financial sources. Do a quantitative analysis of the financial crisis contagion effects use the Hurst exponents calculated by MF-DFA method to get the contagion coefficients, respectively calculate the contagion coefficients from nodes to the network, and the ones from the network to the nodes, then analyzes the contagion path of the financial crisis in the stock market network.Finally, based on the above analysis, analyze the immunization strategy in the global stock markets, compare the specific characteristics of the global stock market networks with the commonly used immunization strategy in the complex network theory, and find the fixed immunization strategy should be used. Then analyze the robustness of the global stock markets network, propose that when making immunization strategies, the key nodes in the minimum spanning trees and the divided communities should also be considered, also keep an eye on the possible infection channels. Combined with China’s specific conditions, use CITIC industry indices to build a model of the Chinese stock market, obtain the minimum spanning tree diagrams and hierarchical tree diagrams of the Chinese stock market industry indices network, find that obvious industry clustering effects in the network, and the network structure become more closely during the financial crisis period, which is the same as the characteristics that global stock indices network exhibit. From the industry point of view to analyze the way that infect the Chinese stock market during the global financial crisis provides a reference program for the supervise and development of measures to ensure the stability of the Chinese stock market...