Analysis of network clustering behavior of the Chinese stock market

Huan Chen, Yong Mai and Sai-Ping Li

Physica A: Statistical Mechanics and its Applications, 2014, vol. 414, issue C, 360-367

Abstract: Random Matrix Theory (RMT) and the decomposition of correlation matrix method are employed to analyze spatial structure of stocks interactions and collective behavior in the Shanghai and Shenzhen stock markets in China. The result shows that there exists prominent sector structures, with subsectors including the Real Estate (RE), Commercial Banks (CB), Pharmaceuticals (PH), Distillers&Vintners (DV) and Steel (ST) industries. Furthermore, the RE and CB subsectors are mostly anti-correlated. We further study the temporal behavior of the dataset and find that while the sector structures are relatively stable from 2007 through 2013, the correlation between the real estate and commercial bank stocks shows large variations. By employing the ensemble empirical mode decomposition (EEMD) method, we show that this anti-correlation behavior is closely related to the monetary and austerity policies of the Chinese government during the period of study.

Keywords: RMT; EEMD; Collective behavior; Subsectors 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:414:y:2014:i:c:p:360-367

DOI: 10.1016/j.physa.2014.07.039

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