Empirical Analysis of AH-Shares
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Journal of Systems Science and Information  2016, Vol. 4 Issue (4): 343-353    DOI: 10.21078/JSSI-2016-343-11
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Empirical Analysis of AH-Shares
Hongxing YAO1,2, Kejuan ZHOU2
1. School of Finance and Economics, Jiangsu University, Zhenjiang 212013, China;
2. Faculty of Science, Jiangsu University, Zhenjiang 212013, China
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Recent studies of correlations in Chinese stock market have mainly focused on the static correlations in financial time series, and then we pay great attention to investigate their dynamic evolution of correlations. Our paper reports on topology of 41 AH-shares companies traded on Shanghai and Hong Kong Stock Exchange in Chinese stock market. We apply the concept of minimum spanning tree (MST) and hierarchical tree (HT) to analyze and reveal the dynamic evolution of correlations between different market sectors for the period 2008-2014. From these trees, we can detect that significantly industry clustering effects are in the stock network. We measure the linkage of different companies geared to different industrial sectors. We observe the evolution of AH-shares companies in the stock network based on the moving window technique and investigate the correlations by calculating the correlation coefficient distribution, mean correlation coefficient and mean distance of these companies with time. Therefore, through our analysis, we find that companies working in the same branch of production tend to make up cluster. The results present the difference and similarity between different industry sectors in different time periods.

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Hongxing YAO
Kejuan ZHOU
Key wordscomplex network   dynamic evolution   minimum spanning tree   hierarchical tree     
Received: 2015-08-08;

Supported by the National Natural Science Foundation of China (71271107, 71271103)

Cite this article:   
Hongxing YAO,Kejuan ZHOU. Empirical Analysis of AH-Shares[J]. Journal of Systems Science and Information, 2016, 4(4): 343-353.
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