[1]李守斐,李 晗,朱冠旭,等.基于动态网络方法的中国行业板块联动效应分析[J].江西师范大学学报(自然科学版),2022,(01):25-36.[doi:10.16357/j.cnki.issn1000-5862.2022.01.05]
　LI Shoufei,LI Han,ZHU Guanxu,et al.The Analysis on Linkage Effect of Chinese Industry Sector Based on Dynamic Network Method[J].Journal of Jiangxi Normal University:Natural Science Edition,2022,(01):25-36.[doi:10.16357/j.cnki.issn1000-5862.2022.01.05]
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基于动态网络方法的中国行业板块联动效应分析()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2022年01期
页码:
25-36
栏目:
数学与应用数学
出版日期:
2022-01-25

文章信息/Info

Title:
The Analysis on Linkage Effect of Chinese Industry Sector Based on Dynamic Network Method
文章编号:
1000-5862(2022)01-0025-12
作者:
李守斐1; 李 晗2; 朱冠旭3; 盛积良4*
1.泰康养老保险股份有限公司江西分公司,江西 南昌 330038; 2.中国人民银行郴州市中心支行,湖南 郴州 423000; 3.南昌三中高中部,江西 南昌 330029; 4.江西财经大学统计学院,江西 南昌 330013
Author(s):
LI Shoufei1; LI Han2; ZHU Guanxu3; SHENG Jiliang4
1.Jiangxi Branch Taikang Endowment Insurance Corporation Limited,Jiangxi Nanchang 330038,China; 2.Chenzhou Central Sub Branch,the People's Bank of China,Chenzhou Hunan 423000,China; 3.High School Department,No.3 Middle School of Nanchang,Jiangxi Nanchang 330029,China; 4.School of Statistics,Jiangxi University of Finance and Economics,Jiangxi Nanchang 330013,China
关键词:
行业板块联动性;  DCC-MVGARCH;  动态最小生成树网络;  Tucker分解
Keywords:
industry sector linkage;  DCC-MVGARCH;  dynamic mst network;  Tucker decomposition
分类号:
F 830.91
DOI:
10.16357/j.cnki.issn1000-5862.2022.01.05
文献标志码:
A
摘要:
该文通过DCC-MVGARCH模型和网络分析方法,建立动态最小生成树网络,利用Tucker分解和K-均值聚类方法,将动态网络聚集成3个代表网络,并生成分层结构树图,对在2007—2018年包括次贷危机、“2015年股市波动”和中美贸易战等多个股市重大事件时间段内的中国行业板块联动性进行实证分析.研究结果表明:行业板块联动性长期处于波动状态,在股价快速上涨、下跌时,联动性的波动尤为剧烈,但在代表网络中具有重要影响力的节点变化不大,分层结构树图聚集状态变化较小,行业板块联动网络基本稳定; 在中国股票市场的网络结构中生产制造业处于核心地位,金融业处于边缘地位.
Abstract:
The dynamic minimum spanning tree network is established through DCC-MVGARCH model and network analysis method,and the dynamic network is integrated into three representative networks by using Tucker decomposition and K-means clustering method and hierarchical tree diagram is generated.The empirical analysis of China's industry sector linkages is made during the period from 2007 to 2018,including the subprime mortgage crisis,the "2015 stock market fluctuations" and the trade war.The results show that the linkage of industry sector has been in a state of volatility for a long time,when the stock price rises and falls rapidly,the linkage fluctuation is particularly severe,but the nodes with important influence in the linkage network have not changed much,hierarchical tree graph aggregation state change less,the linkage network between the industry sectors is basically stable.In the network structure of China's stock market, manufacturing industry is at the core,and the financial industry is at the marginal position.

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备注/Memo

备注/Memo:
收稿日期:2021-09-08
基金项目:国家自然科学基金(71973056,71561011)资助项目.
通信作者:盛积良(1972—),男,江西余干人,教授,博士,博士生导师,主要从事金融工程与风险管理、金融计量与金融统计等研究.E-mail:shengjiliang@163.com
更新日期/Last Update: 2022-01-25