The Research On Linkage Of The Industry In The China Stock Market

With the development of economy,China has become the second largest stock market in the world.Sustained financial security and steady investment income have become a major concern of the government and various investors.Is there any linkage between the stock market industries? Whether it is possible to use this linkage to increase investor returns,reduce investment winds,and provide policy grounds for regulatory agencies has gradually become an issue worth exploring.The stock market is a typical complex system.Based on the data of Shenyin & Wanguo industry stock index,this paper uses complex network analysis methods to construct the annual industry rate of return static network,industry minimum spanning tree,dynamic network of volatility,and VAR model.The network has conducted an in-depth analysis of the network nature and industry linkage of complex networks among industries.The results show that there are universal linkages in various industries in China's stock market,and this linkage will be strengthened during the ?disaster disaster? period and weakened during the rising market period;over time,the ?core? industry in the industry network will take place,after 2007,besides the chemical industry,machinery manufacturing and building decoration industries began to enter the core position of the whole network.;the industries with the logic of the industry chain will be closer to the minimum spanning tree,and the related industries will easily form the aggregation area centered on the ?core? industry;The dynamic correlation coefficient among different industries in the network is not the same,but the correlation coefficient between ?related? industries is obviously higher than that of other industries,which indicates that the volatility of industries with strong associative relationships is also highly correlated;using VARs The model constructs an industry-directed network.The results show that the overall spillover effect between industries is very obvious.The first subgroup of agriculture,forestry,animal husbandry,fisheries,chemical industry and building materials have very significant spillover effects and are typical ?engines?.Therefore,all types of investors should have an in-depth understanding of the relationship between industries,use the logic of the industry chain and the direction of information spillovers between industries to increase investment income and reduce investment risks.Government agencies should step up to the "core" industry and the regulation of the first subgroup related news,when good news bad news appeared,timely give investors risk warning,to prevent false news to disrupt the market at the same time,promote the steady development of the whole stock market.