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Geography and distance effect on financial dynamics in the Chinese stock market

Author

Listed:
  • Li, Xing
  • Qiu, Tian
  • Chen, Guang
  • Zhong, Li-Xin
  • Jiang, Xiong-Fei

Abstract

Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The stocks in the Shanghai city and the Guangdong province are found to greatly contribute to the Shanghai and Shenzhen markets in the geographical sector, respectively. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with the probability of the short distance observed to be much greater than that of the long distance. The distance is found to only affect the stock correlation of the Shanghai stock market, but has no effect on the Shenzhen stock market.

Suggested Citation

  • Li, Xing & Qiu, Tian & Chen, Guang & Zhong, Li-Xin & Jiang, Xiong-Fei, 2016. "Geography and distance effect on financial dynamics in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 109-116.
    • Handle: RePEc:eee:phsmap:v:457:y:2016:i:c:p:109-116
    DOI: 10.1016/j.physa.2016.03.058
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