文献类型：期刊文献

英文题名：An analysis of the sectorial influence of CSI300 stocks within the directed network

作者：Mai, Yong[1];Chen, Huan[1];Meng, Lei[1]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2014

卷号：396

起止页码：235

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

收录：;EI(收录号：20135217124546);WOS:【SCI-EXPANDED(收录号:WOS:000330908400022)】；

基金：The authors are grateful to National Natural Science Foundation of China for providing research funding (Project No. 71301052).

语种：英文

外文关键词：Directed weighted network; Scale-free; Hierarchical structure

摘要：This paper uses the Partial Correlation Planar maximally filtered Graph (PCPG) method to construct a directed network for the constituent stocks underlying the China Securities Index 300 (CSI300). We also analyse the impact of individual stocks. We find that the CSI300 market is a scale-free network with a relatively small power law exponent. The volatility of the stock prices has significant impact on other stocks. In the sectorial network, the industrial sector is the most influential one over other sectors, the financial sector only has a modest influence, while the telecommunication services sector's influence is marginal. In addition, such inter-sector influence displays quarterly stability. (C) 2013 Elsevier B.V. All rights reserved.