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

Author

Listed:
  • Li, Xing
  • Qiu, Tian
  • Chen, Guang
  • Zhong, Li-Xin
  • Wu, Xiao-Run

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.

Suggested Citation

  • Li, Xing & Qiu, Tian & Chen, Guang & Zhong, Li-Xin & Wu, Xiao-Run, 2017. "Market impact and structure dynamics of the Chinese stock market based on partial correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 106-113.
    • Handle: RePEc:eee:phsmap:v:471:y:2017:i:c:p:106-113
    DOI: 10.1016/j.physa.2016.11.121
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    Citations

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    Cited by:

    1. Wang, Yan & Wang, Yue & Li, Ming-Xia, 2019. "Regional characteristics of sports industry profitability: Evidence from China’s province level data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 946-955.
    2. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
    3. Mori Kogid & Jaratin Lily & Rozilee Asid & James M. Alin & Dullah Mulok, 2022. "Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(1), pages 131-148, February.

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