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Yan, Y; Wang, L; Liu, MX; Chen, XS; Liu, MX (reprint author), Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China.
Evolutions of fluctuation modes and inner structures of global stock markets
Source PublicationINTERNATIONAL JOURNAL OF MODERN PHYSICS B
Language英语
KeywordGlobal Stock Market Covariance Matrix Principle Fluctuation Mode Analysis Complex Network
AbstractThe paper uses empirical data, including 42 globally main stock indices in the period 1996-2014, to systematically study the evolution of fluctuation modes and inner structures of global stock markets. The data are large in scale considering both time and space. A covariance matrix-based principle fluctuation mode analysis (PFMA) is used to explore the properties of the global stock markets. It has been ignored by previous studies that covariance matrix is more suitable than the correlation matrix to be the basis of PFMA. It is found that the principle fluctuation modes of global stock markets are in the same directions, and global stock markets are divided into three clusters, which are found to be closely related to the countries' locations with exceptions of China, Russia and Czech Republic. A time-stable correlation network constructing method is proposed to solve the problem of high-level statistical uncertainty when the estimated periods are very short, and the complex dynamic network (CDN) is constructed to investigate the evolution of inner structures. The results show when the clusters emerge and how long the clusters exist. When the 2008 financial crisis broke out, the indices form one cluster. After these crises, only the European cluster still exists. These findings complement the previous studies, and can help investors and regulators to understand the global stock markets.
2016
Volume30Issue:32Pages:1650237
Subject AreaPhysics
DOIhttp://dx.doi.org/10.1142/S0217979216502374
Indexed BySCI
Funding OrganizationNational Science Foundation of China [71103179] ; National Science Foundation of China [71103179] ; National Science Foundation of China [71103179] ; National Science Foundation of China [71103179] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS
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Document Type期刊论文
Identifierhttp://ir.itp.ac.cn/handle/311006/21453
Collection理论物理所科研产出_SCI论文
Corresponding AuthorLiu, MX (reprint author), Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China.
Recommended Citation
GB/T 7714
Yan, Y,Wang, L,Liu, MX,et al. Evolutions of fluctuation modes and inner structures of global stock markets[J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS B,2016,30(32):1650237.
APA Yan, Y,Wang, L,Liu, MX,Chen, XS,&Liu, MX .(2016).Evolutions of fluctuation modes and inner structures of global stock markets.INTERNATIONAL JOURNAL OF MODERN PHYSICS B,30(32),1650237.
MLA Yan, Y,et al."Evolutions of fluctuation modes and inner structures of global stock markets".INTERNATIONAL JOURNAL OF MODERN PHYSICS B 30.32(2016):1650237.
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