摘要
股票市场中股票价格的波动是相互影响的,但不同的股票其价格波动时对其他股票价格行为的影响能力是不同的。本文通过对我国上海A股市场的实证分析表明,有少数股票其价格波动时对其他股票价格行为有很强的影响能力,而大多数股票的这种影响能力很小。此外,单个股票价格波动时引起其他股票价格涨、跌的能力一般都有显著差异。
A novel weighted stock network （WSN） model of stock market is presented based on the complex network theory. Each vertex of the network denotes a stock, and the weight assigned to each edge is the cross-correlation coefficients of returns. We define the positive （or negative） influence-strength of a stock as its capability to cause other stocks＂ price to rise （or fall） when its price rises. Then we find that the influence-strength distribution follows a powerlaw with exponent = 2.58. The result shows that there must be a few stocks whose price fluctuations can powerfully influence the price dynamics of other stocks in the same market. Further econometric analysis reveals there are significant differences between the positive and the negative influence-strengths in most of years.
出处
《上海管理科学》
2006年第4期29-30,共2页
Shanghai Management Science
基金
国家自然科学基金资助项目(70401019)
关键词
股票市场
价格波动
影响能力
网络
Stock market, Price fluctuation, Influence strength, Network
