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

Author

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  • Zhang, Yongjie
  • Cao, Xing
  • He, Feng
  • Zhang, Wei

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.

Suggested Citation

  • Zhang, Yongjie & Cao, Xing & He, Feng & Zhang, Wei, 2017. "Network topology analysis approach on China’s QFII stock investment behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 77-88.
    • Handle: RePEc:eee:phsmap:v:473:y:2017:i:c:p:77-88
    DOI: 10.1016/j.physa.2016.12.054
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    Cited by:

    1. Korkeamäki, Timo & Virk, Nader & Wang, Haizhi & Wang, Peng, 2019. "Learning Chinese? The changing investment behavior of foreign institutions in the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 190-203.
    2. Ming-Lang Tseng & Phan Anh Tan & Shiou-Yun Jeng & Chun-Wei Remen Lin & Yeneneh Tamirat Negash & Susilo Nur Aji Cokro Darsono, 2019. "Sustainable Investment: Interrelated among Corporate Governance, Economic Performance and Market Risks Using Investor Preference Approach," Sustainability, MDPI, vol. 11(7), pages 1-15, April.
    3. Shu-Ling Lin & Jun Lu, 2020. "Did Institutional Investors’ Behavior Affect U.S.-China Equity Market Sentiment? Evidence from the U.S.-China Trade Turbulence," Mathematics, MDPI, vol. 8(6), pages 1-17, June.

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