文献类型：期刊文献

英文题名：Analysis of network clustering behavior of the Chinese stock market

作者：Chen, Huan[1];Mai, Yong[1];Li, Sai-Ping[2]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, Taipei 11529, Taiwan

年份：2014

卷号：414

起止页码：360

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20143518097229);WOS:【SCI-EXPANDED(收录号:WOS:000342253300037)】；

基金：The authors are grateful to National Social Science Foundation of China for providing research funding (NSSF Grant No. 14BJY177).

语种：英文

外文关键词：RMT; EEMD; Collective behavior; Subsectors structure

摘要：Random Matrix Theory (RMT) and the decomposition of correlation matrix method are employed to analyze spatial structure of stocks interactions and collective behavior in the Shanghai and Shenzhen stock markets in China. The result shows that there exists prominent sector structures, with subsectors including the Real Estate (RE), Commercial Banks (CB), Pharmaceuticals (PH), Distillers&Vintners (DV) and Steel (ST) industries. Furthermore, the RE and CB subsectors are mostly anti-correlated. We further study the temporal behavior of the dataset and find that while the sector structures are relatively stable from 2007 through 2013, the correlation between the real estate and commercial bank stocks shows large variations. By employing the ensemble empirical mode decomposition (EEMD) method, we show that this anti-correlation behavior is closely related to the monetary and austerity policies of the Chinese government during the period of study. (C) 2014 Elsevier B.V. All rights reserved.