Research On Stock Price Linkage Of China's Stock Market Based On Complex Network

Since the establishment of the Shanghai Stock Exchange in 1990,China's stock market undergone a twenty-seven years' development from an unstable state to a healthy one.In recent years,with the increasing number of Chinese listed companies as well as its continuous development,there are many new standards of industry groups division.Meanwhile,the mutual relationships among these various industry sectors become increasingly complex.Based on the complex network theory,this paper studies the co-movement of stock prices in different industrial sectors.This paper selects CSI 100 Index as its research subjects owing to its high representativeness to the overall operating performance of the most influential companies in China's stock market.This paper then takes June 2015 as the time break point to divide the time period from March 2014 to September 2016 into two time windows.Firstly,the paper acquired CSI 100 Index during this two time windows and acquire the distance profiles between stocks.These figures states that when the Shanghai stock composite index fluctuated sharply,the volatility of the stock price is also very obvious.And the stock returns satisfy a"peak fat tail" distribution.Secondly,this paper utilizes the minimum spanning tree algorithm(MST)to construct the China stock correlation network model.The results prove that the higher the centrality is,the more relevant the share prices are.It shows that the stocks of manufacturing companies have relatively high betweenness and eigenvector values.It also confirms that the manufacturing industry is the basic industry of our national economy.Additionally,by calculating the average correlation coefficient,this paper finds out that the average correlation coefficient is greater when the stock market plummeted significantly compared to a stable stock market situation.And as the stock prices fluctuate,the concentration of industries increases.Finally,the paper selects three enterprise-China Shipping Develop(transport industry)and Yunnan Copper and Jiangxi Copper(manufacturing),which are the typical leading enterprises in the manufacturing and transportation industries,as the research objects.By doing stability test and cointegration test,this paper makes further study on the industrial correlation degree and fluctuation trend of Chinese stock market index.These three companies have higher net profit growth rate,market share and they have long-term investment value.Besides,they have deep influence and certain demonstration on other enterprises in the same sector.In the same time,according to the empirical results of stock co-movement,the betweenness and eigenvector values of the three stocks are higher,and these volatilities and return rates can greatly influence other stocks.At last,the empirical results show that the co-movement of share price among industrial sector has short-term and long-term stability trend.