Analyzing the dynamic sectoral influence in Chinese and American stock markets

doi:10.1016/j.physa.2019.04.158

CORC > 自动化研究所 > 中国科学院自动化研究所 > 复杂系统管理与控制国家重点实验室 > 互联网大数据与安全信息学研究中心

	Analyzing the dynamic sectoral influence in Chinese and American stock markets
	Tian, Hu 1,3; Zheng, Xiaolong 1,3; Zeng, Daniel Danjun 1,2,3
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2019-12-15
卷号	536 页码:15
关键词	Sectoral influence Multi-time scales Causal network Granger causality Empirical mode decomposition
ISSN号	0378-4371
DOI	10.1016/j.physa.2019.04.158
通讯作者	Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
英文摘要	In this paper, we mainly focus on examining the sectoral influence on fine time scales in the Chinese and American stock markets. Based on the dataset regarding the 10 sector indices, we construct the sectoral-level causal networks by incorporating the empirical mode decomposition into Granger causal test and find that the most influential sectors on different time scales are almost different except that industrial sector has prominent influence on all time scales in the Chinese stock markets. We further confirm that the influence of dominant sectors on different time scale is stable both in the Chinese and American stock markets. Especially, we investigate the periods of some extreme market events such as the 2008 financial crisis, and obtain that the stock market collapse and soar events can improve the statistical causality of sectors and enhances the linkages among sectors on the long time scale. These findings can provide significant insights for policymakers and investors to understand the underlying differences regarding the dynamic sectoral influence in stock markets of developing and developed countries. (C) 2019 Elsevier B.V. All rights reserved.
资助项目	Natural Science Foundation of China[71472175] ; Natural Science Foundation of China[71602184] ; Natural Science Foundation of China[71621002] ; Ministry of Health of China[2017ZX10303401-002] ; Ministry of Health of China[2017YFC1200302] ; National Key Research and Development Program of China[2016QY02D0305]
WOS关键词	GRANGER CAUSALITY ; EMD ; INFORMATION ; CLASSIFICATION ; NETWORKS ; FEATURES
WOS研究方向	Physics
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:000500034900057
资助机构	Natural Science Foundation of China ; Ministry of Health of China ; National Key Research and Development Program of China
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/29379]
专题	自动化研究所_复杂系统管理与控制国家重点实验室_互联网大数据与安全信息学研究中心
通讯作者	Zheng, Xiaolong
作者单位	1.Univ Chinese Acad Sci, Beijing, Peoples R China 2.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA 3.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Tian, Hu,Zheng, Xiaolong,Zeng, Daniel Danjun. Analyzing the dynamic sectoral influence in Chinese and American stock markets[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,536:15.
APA	Tian, Hu,Zheng, Xiaolong,&Zeng, Daniel Danjun.(2019).Analyzing the dynamic sectoral influence in Chinese and American stock markets.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,536,15.
MLA	Tian, Hu,et al."Analyzing the dynamic sectoral influence in Chinese and American stock markets".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 536(2019):15.