An analysis of the sectorial influence of CSI300 stocks within the directed network

Yong Mai, Huan Chen and Lei Meng

Physica A: Statistical Mechanics and its Applications, 2014, vol. 396, issue C, 235-241

Abstract: This paper uses the Partial Correlation Planar maximally filtered Graph (PCPG) method to construct a directed network for the constituent stocks underlying the China Securities Index 300 (CSI300). We also analyse the impact of individual stocks. We find that the CSI300 market is a scale-free network with a relatively small power law exponent. The volatility of the stock prices has significant impact on other stocks. In the sectorial network, the industrial sector is the most influential one over other sectors, the financial sector only has a modest influence, while the telecommunication services sector’s influence is marginal. In addition, such inter-sector influence displays quarterly stability.

Keywords: Directed weighted network; Scale-free; Hierarchical structure (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:396:y:2014:i:c:p:235-241

DOI: 10.1016/j.physa.2013.11.016

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