Analysis of Community Structures and Systemic Risks in China's Stock Market Under Extreme Conditions

被引：0
作者：
Li Y.-S. [1 ]
Zhuang X.-T. [1 ]
Wang J. [1 ]
Zhang W.-P. [1 ]
机构：
[1] School of Business Administration, Northeastern University, Shenyang
来源：
Dongbei Daxue Xuebao/Journal of Northeastern University | 2020年 / 41卷 / 10期
关键词：
Community structure; Complex network; Network centrality; Stock market disaster; Systemic risk;
D O I：
10.12068/j.issn.1005-3026.2020.10.020
中图分类号：
学科分类号：
摘要：
Two domestic stock market disasters in 2008 and 2015 were selected as the background to construct China's stock market network community structures before, during and after the disasters. The node systemic importance index and the systemic risk index of stock market were constructed to analyze the core stocks, industries, stock portfolios and their changes within the network communities in each period, and to explore the correlation between systemic risks and network topological indicators and macroeconomic indicators. The results showed that the industrial sector suffer severe setbacks, and the raw materials, financial real estates, medical and health sectors play a role in protecting the market and repairing stock indexes during the stock market disasters. Three kinds of special community structures are found and some of them have a tendency to merge with each other. During the periods of extreme stock index fluctuations, the systemic risk of China's stock market is significantly correlated with some network topological indicators and macroeconomic indicators. © 2020, Editorial Department of Journal of Northeastern University. All right reserved.
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页码：1500 / 1508
页数：8
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