文献类型：期刊文献

英文题名：Systemic Risk and Trading Strategy Based on Correlation-Based Networks in Stock Markets

作者：Yu, Jia-Wei[1];Huang, Qin-Qin[1];Guo, Yong-Han[1];Jiang, Zhi-Qiang[1];Xie, Wen-Jie[1]

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

年份：2020

卷号：19

期号：3

外文期刊名：FLUCTUATION AND NOISE LETTERS

收录：;WOS:【SSCI(收录号:WOS:000569324800007)，SCI-EXPANDED(收录号:WOS:000569324800007)】；

基金：This work was supported by the National Natural Science Foundation of China (Grant No. U1811462), the Shanghai Philosophy and Social Science Fund Project (Grant No. 2017BJB006), the Program of Shanghai Young Top-notch Talent (2018) and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Systemic risk; correlation-based networks; stock market; trading strategy

摘要：In this paper, we construct five systemic risk indicators and test their performances based on four different datasets. It is observed that the five indicators can accurately indicate the increment of systemic risks during the periods of sub-prime crisis and European debt crisis. Trading strategies based on the risk indicators are further designed to test the warning ability of future price drops. The backtests reveal that trading based on the five indicators provides satisfied excess returns when the trading costs are included. Our results provide insights to find new network-based risk indicators to early warn the systemic risks in financial markets.