1. Dynamic Correlation Analysis on the Financial Institutions in Shanghai, Shenzhen, and Hong Kong Stock Markets Based on Complex Network.
- Author
-
Gu, Yuxin and Yao, Yinhong
- Subjects
STOCK exchanges ,CORPORATE finance ,FINANCIAL institutions ,STATISTICAL correlation ,SPANNING trees - Abstract
With the launch of the Shanghai-Hong Kong and the Shenzhen-Hong Kong Stock Connect programs, the correlations among the three stock markets have been more complex. Therefore, this paper applies the Minimum Spanning Tree and Sliding Window methods to analyze the complex correlations of the 38 financial institutions in the three markets. Based on closing prices ranging from January 1, 2011 to December 31, 2021, three conclusions are obtained. The top 20 institutions in the network were mainly banking institutions from 2011 to 2013, while the node strength of non-banking financial institutions tended to increase from 2014 to 2021. The network shows different structures over time, even the changes in the three correlation coefficients generally show the same trend. The degree correlation between any two layers is positive, but the similarity shows different characteristics. These results would help to enrich multi-layer network theory and reveal the evolutionary characteristics of the correlation between financial institutions. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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