Market impact and structure dynamics of the Chinese stock market based on partial correlation analysis

Xing Li, Tian Qiu, Guang Chen, Li-Xin Zhong and Xiao-Run Wu

Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 106-113

Abstract: Partial correlation analysis is employed to study the market impact on the Chinese stock market from both the native and external markets. Whereas the native market index is observed to have a great impact on the market correlations for both the Shanghai and Shenzhen stock markets, some external stock indices of the United States, European and Asian stock markets show a slight influence on the Chinese market. The individual stock can be affected by different economic sectors, but the dominant influence is from the sector the stock itself belongs to or closely related to, and the finance and insurance sector shows a weaker correlation with other economic sectors. Moreover, the market structure similarity exhibits a negative correlation with the price return in most time, and the structure similarity decays with the time interval.

Keywords: Econophysics; Stock market; Partial correlation analysis (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:106-113

DOI: 10.1016/j.physa.2016.11.121

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