NDLI: Can Network Linkage Effects Determine Return? Evidence from Chinese Stock Market

Content Provider	PubMed Central
Author	Qiao, Haishu Xia, Yue Ying, Li
Editor	Zhou, Wei-xing
Copyright Year	2016
Abstract	This study used the dynamic conditional correlations (DCC) method to identify the linkage effects of Chinese stock market, and further detected the influence of network linkage effects on magnitude of security returns across different industries. Applying two physics-derived techniques, the minimum spanning tree and the hierarchical tree, we analyzed the stock interdependence within the network of the China Securities Index (CSI) industry index basket. We observed that that obvious linkage effects existed among stock networks. CII and CCE, CAG and ITH as well as COU, CHA and REI were confirmed as the core nodes in the three different networks respectively. We also investigated the stability of linkage effects by estimating the mean correlations and mean distances, as well as the normalized tree length of these indices. In addition, using the GMM model approach, we found inter-node influence within the stock network had a pronounced effect on stock returns. Our results generally suggested that there appeared to be greater clustering effect among the indexes belonging to related industrial sectors than those of diverse sectors, and network comovement was significantly affected by impactive financial events in the reality. Besides, stocks that were more central within the network of stock market usually had higher returns for compensation because they endured greater exposure to correlation risk.
Related Links	http://dx.doi.org/10.1371/journal.pone.0156784
Starting Page	156784
File Format	PDF
ISSN	19326203
e-ISSN	19326203
Journal	PLoS ONE
Issue Number	6
Volume Number	11
Language	English
Publisher	Public Library of Science
Publisher Date	2016-06-01
Access Restriction	Open
Rights Holder	Public Library of Science
Subject Keyword	Biochemistry, Genetics and Molecular Biology(all) Agricultural and Biological Sciences(all) Medicine(all) Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Web Search Queries Can Predict Stock Market Volumes

Dynamic Evolution of Cross-Correlations in the Chinese Stock Market

Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?

Quantifying Stock Return Distributions in Financial Markets

Fractal Profit Landscape of the Stock Market

Predicting the Direction of Stock Market Index Movement Using an Optimized Artificial Neural Network Model

Processing Coordinate Structures in Chinese: Evidence from Eye Movements

Confidence and the Stock Market: An Agent-Based Approach

A Stock Market Forecasting Model Combining Two-Directional Two-Dimensional Principal Component Analysis and Radial Basis Function Neural Network

Can Network Linkage Effects Determine Return? Evidence from Chinese Stock Market

Similar Documents

Web Search Queries Can Predict Stock Market Volumes

Dynamic Evolution of Cross-Correlations in the Chinese Stock Market

Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?

Quantifying Stock Return Distributions in Financial Markets

Fractal Profit Landscape of the Stock Market

Predicting the Direction of Stock Market Index Movement Using an Optimized Artificial Neural Network Model

Processing Coordinate Structures in Chinese: Evidence from Eye Movements

Confidence and the Stock Market: An Agent-Based Approach

A Stock Market Forecasting Model Combining Two-Directional Two-Dimensional Principal Component Analysis and Radial Basis Function Neural Network

Can Network Linkage Effects Determine Return? Evidence from Chinese Stock Market