Network topology analysis approach on China’s QFII stock investment behavior

Yongjie Zhang, Xing Cao, Feng He and Wei Zhang

Physica A: Statistical Mechanics and its Applications, 2017, vol. 473, issue C, 77-88

Abstract: In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small world properties, which presented mainly small world characteristics from 2005 to 2011, and scale free characteristics from 2012 to 2015. Moreover, fluctuations correlation is different with different nodes topological characteristics. In different economic periods, QFII represented different connection patterns and they reacted to the market crash spontaneously. Thus, this paper provides the first evidence of complex network research on QFII’ investment behavior in China as an emerging market.

Keywords: QFII; Network topology; Fluctuation correlation; Mutual stock holding (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:473:y:2017:i:c:p:77-88

DOI: 10.1016/j.physa.2016.12.054

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