摘要
股票市场的波动性一直是金融领域的一个研究重点,行业因素对股市波动性的影响也是投资者关注的一个焦点.从复杂网络视角出发,以行业内股票相关性强弱(RIL)为指标实证研究了行业因素与股票波动性之间的联系.研究发现不同行业的RIL指标有不同的参考标准,于是对原有的RIL指标进行了改进得到新指标RIL*.在以沪深300样本股为例的实证研究中发现采矿业、金融业和房地产业内的股票受行业因素影响最强.研究还发现股票网络结构变化和股市波动性之间存在联系,当行业因素影响急剧降低时,行业内的股票走势会猛烈上升或下降.
Stock market volatility has been one of the most important aspects in studying financial market. Investors pay attention to the impact of industry factor when making an investment decision. We empirically investigate the relationship between the industry factor and the stock market volatility from the perspective of complex networks through Relative Industry Link （RIL） measure. In our study, we find that there are different standards in different industries so that the original RIL index is improved to get a new index RIL＊. With the empirical study on cases of Hushen300 stocks, we find that stocks in the fields of mining industry, financial industry and real estate industry are affected mostly by industry factors. The study also shows that there is some relationship between the network structure and stock market volatility. When industry factors drastically fall, stock movements within the industry will rise or fall violently.
出处
《浙江工业大学学报》
CAS
北大核心
2015年第3期350-354,共5页
Journal of Zhejiang University of Technology
基金
浙江省重大科技专项计划项目(2011C11048)
