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

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• 作者：Xing Li^a ; Tian Qiu^a ; ^{tianqiu.edu@gmail.com} ; Guang Chen^a ; Li-Xin Zhong^b ; ^c ; Xiao-Run Wu^a
• 关键词：Econophysics ; Stock market ; Partial correlation analysis
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：106-113
• 全文大小：1967 K
• 卷排序：471

文摘

Partial correlation is investigated for the Chinese stock market. Native market index has a great impact on the market correlation. Stocks are mainly affected by their own or closely related economic sector. Structure similarity decays with the time interval.