股权分置改革对我国股票关联网络稳定性的影响  

Effects of Non-tradable Shares Reform on the Structural Stability of China's Stock Cross-Correlation Networks

作　　者：黄玮强[1] 姚爽[2] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819 [2]沈阳化工大学经济与管理学院,辽宁沈阳110142

出　　处：《东北大学学报（自然科学版）》2013年第11期1669-1672,共4页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(71001022;71371044;71201108;71001021;71271047);中国博士后科学基金资助项目(20100471460);中央高校基本科研业务费专项资金资助项目(N110406009)

摘　　要：运用我国沪深A股2002～2012年的收益率数据，分别构建股权分置改革前、改革中及改革后的股票关联网络，实证研究了网络在外部扰动情形下的稳定性．研究发现，从股票收益同步性及关联矩阵最大特征值角度看，在股权分置改革中股票间收益率关联模式的稳定性基本没有变化，改革后的稳定性得到增强．从网络基本拓扑结构特征角度看，改革并未显著影响网络平均最短路径长度和平均聚集系数在外来扰动情形下的稳定性．研究成果对于组合投资及风险管理具有一定的指导意义．By collecting the yield data of Shanghai and Shenzhen A shares from 2002 to 2012, this paper constructs the stock cross-correlation networks of pre-, inand post-non-tradable shares reform periods and empirically studies the networks＇ structural stability under perturbations. The results demonstrate that from the perspective of yield synchronization and maximal eigenvalue of correlation matrix, the networks＂ structural stability is not changed in the process of the non- tradable shares reform, and is strengthened after this reform. Moreover, from the perspective of the networks＂ basic topological features, the reform does not significantly affect the stability of network average shortest path length and average clustering coefficient under perturbations. This study might provide guidance to portfolio investment and risk management in the stock markets.

关 键 词：股票关联网络 关联模式 稳定性 股权分置改革 随机矩阵 

分 类 号：F830.91[经济管理—金融学]