基于节点拓扑特征的中国基金公司共持网络持股行为波动相关性

李华姣; 安海忠; 黄家宸; 高湘昀; 石艳丽

doi:10.7498/aps.63.048901

摘要

选取2003–2012年期间半年度中国基金公司持上市公司股票份额面板数据为样本数据，以基金公司为节点，以同一时刻共持同一家上市公司股票关系为边，以同一时刻共持的上市公司数量为权重，构建中国基金公司共持关系结构等价加权网络（简称共持网络）. 结合统计物理学等方法，分析了共持网络的拓扑结构稳定性及具有不同拓扑特征值的节点随时间演变过程中与共持网络中三类节点集合持股行为波动相关性. 三类节点集合分别为t-1时刻基于某一股票形成的共持关系完全连通子图节点集合（第一类节点集合）、t-1时刻共持网络中非完全连通子图的节点集合（第二类节点集合）、t 时刻新进入共持网络的节点集合（第三类节点集合）. 分析结果显示: 1）节点与第二类节点集合持股行为波动呈正相关，且相关系数随着节点集聚系数的增强而增大；2）只有当节点的度和点强度值较高时，节点与第一类和第二类节点集合的持股行为呈正相关；3）不同拓扑特征条件下的节点与第三类节点集合的持股行为均不存在波动相关性. 本文提供了一个研究持股行为相关性的新思路，并为进一步研究股票市场结构等价网络及节点重要性差异提供了基础.

关键词:

Abstract

The data in this paper was collected from the semi-annual reports between 2003 and 2012 which disclosed the Chinese fund management companies' shareholdings in different listed companies. The holdings-based network of Chinese fund management companies is constructed by taking fund management companies as the nodes, the holding of stock of the same listed company at the same period as the edges, and the number of the listed companies holding at the same time as the weight of the edges. Based on the methods such as statistical physics, etc., the stability of the networks at different times is analyzed, and then the correlation of the holding behavior between the nodes with different topological characteristics and three different sets of nodes are calculated and analyzed. Three different sets are the set of nodes in the full graph with a given stock at t-1 (the first type of nodes), the set of nodes in the holing-based network without holding a given stock at t-1 (the second type of nodes), and the set of the new nodes which appear at t (the third type of nodes). The result shows as follows. Firstly, the correlation coefficient of the holding behavior between the node and the second type of nodes rises with the node clustering coefficient increasing; secondly, the node holding behavior is highly correlated with the second type of nodes and with the third type of nodes only when the values of the node average degree and strength are high; finally, the node holding behavior is not related to the third type of nodes at all. This paper propose a new method to study the correlation of stock market, and it is a basis for the further investigation on the structure equivalence network in stock market and also the differences of the importance between the nodes.

Keywords:

作者及机构信息

1.
中国地质大学(北京)人文经管学院, 北京 100083;

2.
国土资源部资源环境承载力评价重点实验室, 北京 100083;

3.
中国地质大学(北京)资源环境管理实验室, 北京 100083;

4.
中国地质大学(北京)能源学院, 北京 100083;

5.
北京交通大学经济与管理学院, 北京 100044

基金项目: 国家自然科学基金（批准号：71173199）、教育部人文社会科学研究规划基金（批准号：10YJA630001）和中央高校基本科研业务费（批准号：2-9-2013-04）资助的课题.

Authors and contacts

1.
School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China;

2.
Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Land and Resource, Beijing 100083, China;

3.
Laboratory of Resources and Environmental Management, China University of Geosciences, Beijing 100083, China;

4.
School of Energy Resources, China University of Geosciences, Beijing 100083, China;

5.
School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China

Funds: Project supported by the National Natural Science Foundation of China (Grant No. 71173199), the Humanities and Social Sciences Planning Funds Project under the Ministry of Education, China (Grant No. 10YJA630001), and the Fundamental Research Fund for the Central Universities of China (Grant No. 2-9-2013-04).

参考文献

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[2]	Zhang Y, Zhang J W, Wang Z X 2004 Physica 33 734 (in Chinese) [张宇, 张建玮, 王正行 2004 物理 33 734]
[3]	Huang W Q, Zhuang X T, Yao S 2009 Physica A 388 2956
[4]	Mantegna R N 1999 Eur. Phys. J. B 11 193
[5]	Battiston S, Rodrigues J F, Zeytinoglu H 2007 Adv. Complex Syst. 10 29
[6]	Ma Y, Zhuang X, Li L 2011 Physica A 390 749
[7]	Park K, Shin H 2013 Eng. Appl. Artif. Intel. 26 1550
[8]	Caraiani P 2013 Physica A 391 3629
[9]	Cohen L, Frazzini A, Malloy C 2007 J. Polit. Econ. 116 951
[10]	Pareek A 2012 AFA 2010 Atlanta Meetings Paper (Georgia: Atlant)
[11]	Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[12]	Callen J L, Fang X H 2013 J. Banking Finance 37 3047
[13]	An H, Zhang T 2013 J. Corp. Finance 21 1
[14]	Wang G J, Xie C, Chen S, Yang J J, Yang M Y 2013 Physica A 392 3715
[15]	Kim D H, Cha M Y, Lee J W 2011 Comput. Phys. 182 243
[16]	Jayasuriya S A 2011 Emerg. Markets Rev. 12 418
[17]	Kotkatvuori-Örnberg J, Nikkinen J, Äijö J 2013 International Rev. Financial Analysis 28 70
[18]	Heaney R, Sriananthakumar S 2012 J. Empir. Finance 19 583
[19]	Hiang Liow K 2012 Real Estate Economics 40 97
[20]	Cao G, Xu L, Cao J 2012 Physica A 391 4855
[21]	Chang C L, McAleer M, Tansuchat R 2012 North Amenican J. Econonics Finance 25 116
[22]	Wang G J, Xie C 2012 Acta Phys. Pol. B 43 2021
[23]	Jegadeesh N, Titman S 1993 J. Finance 48 65
[24]	Shiller R J, Pound J 1989 J. Econ. Behav. Organ. 12 47
[25]	Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[26]	Kacperczyk M, Seru A 2007 J. Finance 62 485
[27]	Wasserman S, Fraut K 1994 Social Network Analysis: Methods and Application (New York: Cambridge University Press) p356
[28]	Mao X M, Sun K, Ouyang Q 2002 Chin. Phys. 11 1106
[29]	Liu J G, Ren Z M, Guo Q, Wang B H 2013 Acta Phys. Sin. 62 178901 (in Chinese) [刘建国, 任卓明, 郭强, 汪秉宏 2013 物理学报 62 178901
[30]	Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[31]	Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[32]	Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phys. Sin. 60 068902 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2011 物理学报 60 068902]
[33]	Palla G, Barabási A L 2007 Nature 446 664

施引文献

[1]	Xin B G, Chen T, Liu Y Q 2011 Acta Phys. Sin. 60 048901 (in Chinese) [辛宝贵, 陈通, 刘艳芹 2011 物理学报 60 048901]
[2]	Zhang Y, Zhang J W, Wang Z X 2004 Physica 33 734 (in Chinese) [张宇, 张建玮, 王正行 2004 物理 33 734]
[3]	Huang W Q, Zhuang X T, Yao S 2009 Physica A 388 2956
[4]	Mantegna R N 1999 Eur. Phys. J. B 11 193
[5]	Battiston S, Rodrigues J F, Zeytinoglu H 2007 Adv. Complex Syst. 10 29
[6]	Ma Y, Zhuang X, Li L 2011 Physica A 390 749
[7]	Park K, Shin H 2013 Eng. Appl. Artif. Intel. 26 1550
[8]	Caraiani P 2013 Physica A 391 3629
[9]	Cohen L, Frazzini A, Malloy C 2007 J. Polit. Econ. 116 951
[10]	Pareek A 2012 AFA 2010 Atlanta Meetings Paper (Georgia: Atlant)
[11]	Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[12]	Callen J L, Fang X H 2013 J. Banking Finance 37 3047
[13]	An H, Zhang T 2013 J. Corp. Finance 21 1
[14]	Wang G J, Xie C, Chen S, Yang J J, Yang M Y 2013 Physica A 392 3715
[15]	Kim D H, Cha M Y, Lee J W 2011 Comput. Phys. 182 243
[16]	Jayasuriya S A 2011 Emerg. Markets Rev. 12 418
[17]	Kotkatvuori-Örnberg J, Nikkinen J, Äijö J 2013 International Rev. Financial Analysis 28 70
[18]	Heaney R, Sriananthakumar S 2012 J. Empir. Finance 19 583
[19]	Hiang Liow K 2012 Real Estate Economics 40 97
[20]	Cao G, Xu L, Cao J 2012 Physica A 391 4855
[21]	Chang C L, McAleer M, Tansuchat R 2012 North Amenican J. Econonics Finance 25 116
[22]	Wang G J, Xie C 2012 Acta Phys. Pol. B 43 2021
[23]	Jegadeesh N, Titman S 1993 J. Finance 48 65
[24]	Shiller R J, Pound J 1989 J. Econ. Behav. Organ. 12 47
[25]	Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[26]	Kacperczyk M, Seru A 2007 J. Finance 62 485
[27]	Wasserman S, Fraut K 1994 Social Network Analysis: Methods and Application (New York: Cambridge University Press) p356
[28]	Mao X M, Sun K, Ouyang Q 2002 Chin. Phys. 11 1106
[29]	Liu J G, Ren Z M, Guo Q, Wang B H 2013 Acta Phys. Sin. 62 178901 (in Chinese) [刘建国, 任卓明, 郭强, 汪秉宏 2013 物理学报 62 178901
[30]	Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[31]	Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[32]	Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phys. Sin. 60 068902 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2011 物理学报 60 068902]
[33]	Palla G, Barabási A L 2007 Nature 446 664

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