Granger causality networks analysis of chinese-listed companies in the chemical industry

Given the variety and strong correlation between chemical industries, ricks easily spread among them. Controlling and studying the complicated relationship among different chemical industries are essential to the coordinated development of chemical industries and the prevention of risk contagion. The Granger causality test was conducted through the stock price data of 344 listed chemical companies and a Granger causality network of listed chemical companies was established based on the complex network theory. Topological properties of the Granger causality network were analyzed thoroughly, and the analysis revealed causal relationships among different chemical industries. Results demonstrated that the petroleum and petrochemical industry, which is extremely vulnerable to macro economy, played an important role in the financial crisis and slow economic development in the past three years. The pharmaceuticals industry, which is a non-cyclical industry, was strongly influenced by the petroleum and petrochemical industry in the past three years. The papermaking industry, which possesses a high degree of association and a wide coverage range, easily influenced other industries. During steady economic development, the cement industry and the basic chemical industry influenced other industries the most. On the other hand, the steel and coal industries, which are the fundamental industries related to national welfare and people's livelihood and had an excess production capacity after the rapid development, were mostly influenced by other industries.