An analysis of the sectorial influence of CSI300 stocks within the directed network

作者：Mai, Yong^*; Chen, Huan; Meng, Lei

来源：Physica A: Statistical Mechanics and Its Applications , 2014, 396: 235-241.

DOI：10.1016/j.physa.2013.11.016

• Directed weighted network
• Scale-free
• Hierarchical structure

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.

• 出版日期2014-2-15
• 单位华东理工大学