金融危机下证券市场网络结构演化的实证分析  

An Empirical Analysis of Network Structure Evolution of Stock Market under Financial Crisis

作　　者：秦春雷[1] 张巍[2] 朱艳春[3] 

机构地区：[1]中央财经大学商学院,北京100081 [2]中央财经大学信息学院,北京100081 [3]北京师范大学经济与工商管理学院,北京100875

出　　处：《商业研究》2015年第3期98-103,共6页Commercial Research

基　　金：教育部人文社会科学研究青年项目;项目编号:13YJC630250;12YJC630106;北京市哲学社会科学规划项目;项目编号:11JGB092;13JGB058;中央财经大学科研创新团队支持计划项目"电子商务与电子政务"资助

摘　　要：本文以金融危机下的恒生指数成份股为研究样本,利用最小生成树算法构建复杂网络,从宏观、微观两个层面分析网络结构的动态变化特征,结果发现:最小生成树长度、直径、特征路径长度均在金融危机初期下降至较低水平,中期在波动中有所上升并逐渐接近初始水平,后期则在经历一番波动后又重回初始水平;网络聚合系数、平均度则在金融危机初期上升至较高水平,中期则维持在此水平并稍有波动,后期下降并维持在较初期更高的水平;在金融危机中期,节点的度较大的股票数量减少,中心节点数量剧增。Taking the components of HIS as samples under financial crisis,and by building complex network with minimum spanning tree algorithm,the paper analyzes the dynamic characteristics of network structure from macroscopic and microscopic perspective. Empirical results showed that the minimum spanning tree length,network diameter,characteristic path length dropped lower at the initial stages of crisis; during the medium-term,such parameters fluctuated and got close to the initial level and returned to initial levels finally; cluster coefficient and average degree increased gradually and reached maximal value at the initial phase; and then these value at this level fluctuated and rose to a higher level at the end of financial crisis; during the medium-term of financial crisis,the number of stock with larger node degree reduced,and the number of center node increased.

关 键 词：金融危机 证券市场网络 拓扑结构 最小生成树 

分 类 号：F82[经济管理—财政学]