| 股指极端波动下中国股市复杂网络结构及中心性分析 |
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| 引用本文： | 李延双,庄新田,张伟平.股指极端波动下中国股市复杂网络结构及中心性分析[J].运筹与管理,2020,29(7):131-143. |
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| 作者姓名： | 李延双 庄新田 张伟平 |
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| 作者单位： | 东北大学 工商管理学院,辽宁 沈阳 110169 |
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| 基金项目： | 国家自然科学基金资助项目(71671030,71571038) |
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| 摘 要： | 基于复杂网络理论,以2015年、2008年国内两次股灾为背景,分别构建股灾发生前、中、后的中国股市网络,通过度、度分布、平均路径长度等基本拓扑指标,分析中国股市网络特性及网络结构的变化,综合利用度中心性、介数中心性及接近度中心性,筛选出各时期网络中的核心股票、核心行业并分析其变化情况,基于网络特征向量中心性分析股市的系统性风险及变化情况,通过仿真实验分析股市网络的鲁棒性。研究表明:两次股灾背景下的中国股市复杂网络均具有小世界性和无标度性;与2008年国际金融危机相比,2015年国内股灾对中国股市的影响强度更大,且2015年中国股市对金融风险的弹性更大;股灾期间各行业版块具有明显的风险传染性,指出各行业板块对稳定股市、修复股指的作用;股指极端波动时,股灾的外生冲击会使股市的系统性风险加大,与2015年国内股灾时期相比,2008年国际金融危机时期的股市系统性风险更大;中国股市网络对随机攻击具有一定鲁棒性,但对蓄意攻击具有脆弱性,股灾的外生冲击会降低中国股市网络的鲁棒性。研究为把握股市极端波动风险下的市场结构特征、股市风险管理提供了参考。
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| 关 键 词： | 股票市场 股灾 复杂网络 拓扑结构 网络中心性 |
| 收稿时间： | 2018-09-28 |
Complex Network Structure and Centrality of China's Stock Market under the Extreme Fluctuation of Stock Index |
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| LI Yan-shuang,ZHUANG Xin-tian,ZHANG Wei-ping.Complex Network Structure and Centrality of China's Stock Market under the Extreme Fluctuation of Stock Index[J].Operations Research and Management Science,2020,29(7):131-143. |
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| Authors: | LI Yan-shuang ZHUANG Xin-tian ZHANG Wei-ping |
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| Affiliation: | School of Business Administration, Northeastern University, Liaoning Shenyang 110169, China |
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| Abstract: | Based on the complex network theory, this paper separately constructs the minimum spanning tree network of China's stock market before, during and after the stock disaster in the context of the two domestic stock market disasters in 2008 and 2015. The basic topological indicators such as degree, degree distribution and average path length are used to analyze the changes of China's stock market network characteristics and network structure. Using the degree centrality, betweenness centrality and closeness centrality, we select and analyze the core stocks and core industries in the network .We analyze the systematic risk and its change of stock market based on the network Eigenvector centrality, and analyze the robustness of stock market network through simulation experiment. The research shows that the complex network of China's stock market in the context of the two stock market disasters has small world and no scale characteristics. Compared with the 2008 international financial crisis, the impact of the domestic stock market crash on China's stock market in 2015 is great and the flexibility of Chinese stock market is great when facing with financial risks in 2015. During the period of stock market disaster, various industry sectors have obvious risk contagiousness, pointing out the role of various industry sectors in stabilizing the stock market and repairing stock indexes. The research provides a reference for grasping the market structure characteristics and stock market risk management under the extreme fluctuation of stock index. |
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| Keywords: | stock market stock market disaster complex network topological structure network centrality |
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