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Complexity in the Chinese stock market and its relationships with monetary policy intensity

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  • Ying, Shangjun
  • Fan, Ying

Abstract

This paper introduces how to formulate the CSI300 evolving stock index using the Paasche compiling technique of weighed indexes after giving the GCA model. It studies dynamics characteristics of the Chinese stock market and its relationships with monetary policy intensity, based on the evolving stock index. It concludes by saying that it is possible to construct a dynamics equation of the Chinese stock market using three variables, and that it is useless to regular market-complexity according to changing intensity of external factors from a chaos point of view.

Suggested Citation

  • Ying, Shangjun & Fan, Ying, 2014. "Complexity in the Chinese stock market and its relationships with monetary policy intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 338-345.
  • Handle: RePEc:eee:phsmap:v:394:y:2014:i:c:p:338-345
    DOI: 10.1016/j.physa.2013.09.047
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    References listed on IDEAS

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    1. Wei, Yi-ming & Ying, Shang-jun & Fan, Ying & Wang, Bing-Hong, 2003. "The cellular automaton model of investment behavior in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 325(3), pages 507-516.
    2. Joshua M. Epstein & Robert L. Axtell, 1996. "Growing Artificial Societies: Social Science from the Bottom Up," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262550253, April.
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    Cited by:

    1. Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo, 2014. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Papers 1405.4490, arXiv.org.
    2. Meng, Xiangyi & Zhang, Jian-Wei & Xu, Jingjing & Guo, Hong, 2015. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 154-160.
    3. Ren, Fei & Ji, Shen-Dan & Cai, Mei-Ling & Li, Sai-Ping & Jiang, Xiong-Fei, 2019. "Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 709-723.

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