产业关联、共同信息溢出与行业股指联动
Industrial Association, Common Information Spill out and Industry Stock Indexes Co-movement: Network Approach
本文利用中信行业指数日度收益率数据和网络分析方法，构建29个行业股指的动态条件相关系数(DCC)矩阵与滚动相关系数(RW)矩阵，并运用最小生成树(MST)方法建立DCC-MST股指联动网络与RW-MST股指联动网络，测度了2005.01.05-2015.01.30间中国股票市场行业股指的联动关系。同时利用QAP相关分析和协整检验，分别揭示了影响行业股指联动的长期与短期因素。长期来看，产业关联关系矩阵与行业股指联动关系矩阵的QAP相关系数显著为正，产业关联度正向影响着行业股指的长期联动。短期来看，"京津冀一体化"、"一带一路"与"新型城镇化"等投资主题带来的共同信息溢出与相关行业股指联动之间存在协整关系。因此，进一步完善准入退出与信息披露制度、减少政府干预，对恢复股市之于实体经济"晴雨表"作用，减少股价非理性"同涨同跌"具有重要意义。
In this paper,based on daily CITIC industry index data and network analysis, we built dynamic conditional correlation (DCC) coefficient matrix and rolling window (RW) coefficient matrix of 29 industries. We use minimum spanning tree (MST) method to establish DCC-MST networks and RW-MST networks among 2005.01.05-2015.01.30. While taking advantage of QAP approach and co-integration test, it reveals the long-term and short-term factors which influence the industry stock indexes co-movement. In the long run, the industrial association has long-term positive impacts on industry indexes co-movement. In the short term, common information such as "Integration of Beijing, Tianjin and Hebei", " One Belt and One Road " and "New Urbanization" has spilled out and related industries stock indexes have been linked closely. Therefore, improving the information disclosure system and reducing government intervention can reduce stock price irrational co-movement of great significance.
李颖、乔海曙、欧阳昕
工业经济信息产业经济财政、金融
金融学行业股指联动产业关联共同信息溢出网络分析
FinanceIndustrial AssociationCommon Information Spill outIndustry Stock Indexes Co-movementNetwork Approach
李颖,乔海曙,欧阳昕.产业关联、共同信息溢出与行业股指联动[EB/OL].(2015-05-25)[2025-08-05].http://www.paper.edu.cn/releasepaper/content/201505-347.点此复制
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