Study Of Financial Market Asset Prices Co-movement And Influence Before And After Financial Crisis

In financial market, if the assets are related then they will show a similar trend of fluctuations. However, under the impact of financial crisis, what’s going on the variation of the relationship among assets, and how the influence of each asset changed. These problems have garnered a lot of attentions of academics.From the view of complexity science by using the mature theory and methodology in complex network, I minutely analyze the variation of correlation between different assets and the influence of each asset to disclose the impacts of financial crisis on the assets. The main works and innovations are given as follows:(1) Using mutual information to measure the statistical interdependence between23industry sectors of Shanghai stock market, I construct corresponding correlation network to analyze the shock of2008financial crisis on industry sectors. The obtained meaningful facts are as follows. First, such crisis has only a limited impact on leading industries such as Manufacturing, Commercial trade, Machinery&Equipment, which still play an important role in Chinese economic. Second, the crisis badly attacks China’s export industries like Electronics, Wood Furniture and Textile&Clothing. The damage further hurts other industries, and then export industries’ influence becomes larger. Third, the crisis adversely impacts the import industries like Petrochemical, Metal&Nonmetal and Pharmaceutical Biotechnology. While due to the stimulation of macroeconomic policies, the influence of crisis on import industries is limited. Similarly, due to relatively strict capital control and the macroeconomic policies stimulating the domestic demand, those industries like Construction, Real Estate and Financial Services are slightly wounded.(2) Cointegration relationships among26global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows:the crises have changed cointegration relationships among stock market indices, their cointegration relationship increased after the Lehman Brothers collapse, while the degree of cointegration gradually decreased from the sub-prime to European debt crisis. The influence of US, Japan and China market indices are entirely distinguished over different periods. Before European debt crisis US stock market is a’global factor’ which leads the developed and emerging markets, while the influence of US stock market decreased evidently during the European debt crisis. Before sub-prime crisis, there is no significant evidence to show that other stock markets co-move with China stock market, while it becomes more integrated with other markets during the sub-prime and European debt crisis. Among developed and emerging stock markets, the developed stock markets lead the world stock markets before European debt crisis, while due to the shock of sub-prime and European debt crisis, their influences decreased and emerging stock markets replaced them to lead global stock markets.All the above investigations could help us learn more about the variation of correlation between different assets and influence of each asset, meanwhile can be a good guide to the risk management of stock investment. Additionally, all the findings provide important implications that government should swiftly modify corresponding macroeconomic policies to sustain economic growth.