Factors And Contagion Effects Of Stock Price Volatility Risk Of Listed Energy Companies Based On The Complex Network Theory

As an important economic subject of the stock market,listed energy companies' stock price volatility risk will have a significant impact on the whole stock market.Since the stock price volatility risk originates from various complicated and uncertain factors and the risk contagion shows the characteristics of complex systems,research on risk contagion from the perspective of complex network theory has attracted more attention in recent years.This study obtains data from all listed energy companies on the China's Shanghai Stock Exchange and Shenzhen Stock Exchange A-share markets.Combining risk management theory,complex network theory and econometrics theory,this study discusses the influence of network topological features of listed energy companies on stock price volatility risk and the risk contagion based on constructing relationship network models and the stock price volatility risk contagion model.The results and innovations are as follows:(1)The co-shareholder relationship network is constructed based on the explicit influence factor of stock price volatility risk,and the financial indicator similarity relationship network is constructed based on the implicit influence factor.The construction of two relationship network models provide a systematic study path for examining the influence of companies' network topological features on the stock price volatility risk.(2)Embedding companies' network topological features of two relationship networks into the panel regression model and combining the results of topological features analysis,the empirical study investigates the influence of network topological features of listed energy companies on the stock price volatility risk.The results indicate that companies' degree and betweenness centrality of co-shareholder relationship network and the clustering coefficient of financial indicator similarity relationship network are import factors affecting the stock price volatility risk.(3)The stock price volatility risk contagion model is constructed.Based on the risk contagion model,the method of identifying the critical risk contagion path is provided and the systematic method of risk contagion is formed.Applying the simulation method,the study carries out the simulations of risk contagion for listed energy companies.Based on the categories of topological features of listed energy companies,the study discusses the characteristics of the stock price fluctuation risk contagion.Firstly,the overall contagion process is characterized by high speed,high intensity and wide range and shows the ripple diffusion effect;Secondly,companies with both high betweenness centrality in the co-shareholder relationship network and high clustering coefficient in the financial indicator similarity relationship network have a high degree of influence on the stock price volatility risk contagion;Thirdly,in the system,a few listed energy companies on the critical risk contagion path act as intermediaries,and they may cause systematic risk.(4)Based on the empirical study of the influence of the network topological features of energy listed companies on the stock price fluctuation risk and the simulation results,related suggestions are provided.The suggestions include weaken the intermediary roles of risky companies in the co-shareholder relationship network,strengthen the management of financial information and establishing the risk blocking strategies for the stock price volatility risk contagion.