金融危机下全球股指网络特性分析  

Analysis of Global Stock Index's Network Features under Financial Crisis

作　　者：刘惟枞 张巍[1] 

机构地区：[1]中央财经大学信息学院,北京100081

出　　处：《山东财政学院学报》2014年第3期11-17,共7页Journal of Shandong Finance Institute

摘　　要：将全球股票市场作为实证研究对象,以2008年金融危机为背景,选取了全球各地具有代表性的51只股指作为研究样本,采用滑动窗口法动态地解析了金融危机下全球股指的网络演化。实证结果表明,整个金融危机过程中股市网络具备小世界性而不具备无标度性。网络结构动态性、协同性的强弱随金融危机的进程而变。同时地域经济发展的不均衡性,导致不同股指在金融危机中的影响力和受影响程度具有差异性。尽管没有可以切断金融危机传播的节点,但通过控制某些节点可以影响金融危机的传播。An empirical study was conducted, based on 2008 financial crisis and by sliding window method, to analyze dynamically the global stock index network evolution by taking the stock indexes worldwide as sample. The research findings show that the stock global stock network has market as subject and 51 small-world property rather than scaleless property during the whole financial crisis; the strength of the network structure dynamics and collabo- ration varies with the process of the financial crisis; the unbalanced development of local economy results in the differences among different stock indexes in their degree of exerting influence and being influenced during the financial crisis ; and that the spread of financial crisis could be affected by controlling some nodes although no nodes could cut off the crisis.

关 键 词：股票市场 复杂网络 金融危机 股票网络 动态分析 

分 类 号：F830.91[经济管理—金融学]