Network topology analysis approach on China's QFII stock investment behavior

Yongjie Zhang; Xing Cao; Feng He; Wei Zhang

doi:10.1016/j.physa.2016.12.054

Network topology analysis approach on China's QFII stock investment behavior

Yongjie Zhang
, Xing Cao
, Feng He^*
, Wei Zhang

^*Corresponding author for this work

Tianjin University
China Center for Social Computing and Analytics
Nankai University

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small world properties, which presented mainly small world characteristics from 2005 to 2011, and scale free characteristics from 2012 to 2015. Moreover, fluctuations correlation is different with different nodes topological characteristics. In different economic periods, QFII represented different connection patterns and they reacted to the market crash spontaneously. Thus, this paper provides the first evidence of complex network research on QFII’ investment behavior in China as an emerging market.

Original language	English
Pages (from-to)	77-88
Number of pages	12
Journal	Physica A: Statistical Mechanics and its Applications
Volume	473
DOIs	https://doi.org/10.1016/j.physa.2016.12.054
State	Published - 1 May 2017
Externally published	Yes

Keywords

Fluctuation correlation
Mutual stock holding
Network topology
QFII

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10.1016/j.physa.2016.12.054

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@article{9f63c6740e7045298d0f2ab1a2a5b3bc,

title = "Network topology analysis approach on China's QFII stock investment behavior",

abstract = "In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small world properties, which presented mainly small world characteristics from 2005 to 2011, and scale free characteristics from 2012 to 2015. Moreover, fluctuations correlation is different with different nodes topological characteristics. In different economic periods, QFII represented different connection patterns and they reacted to the market crash spontaneously. Thus, this paper provides the first evidence of complex network research on QFII{\textquoteright} investment behavior in China as an emerging market.",

keywords = "Fluctuation correlation, Mutual stock holding, Network topology, QFII",

author = "Yongjie Zhang and Xing Cao and Feng He and Wei Zhang",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2017",

month = may,

day = "1",

doi = "10.1016/j.physa.2016.12.054",

language = "英语",

volume = "473",

pages = "77--88",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Network topology analysis approach on China's QFII stock investment behavior

AU - Zhang, Yongjie

AU - Cao, Xing

AU - He, Feng

AU - Zhang, Wei

PY - 2017/5/1

Y1 - 2017/5/1

N2 - In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small world properties, which presented mainly small world characteristics from 2005 to 2011, and scale free characteristics from 2012 to 2015. Moreover, fluctuations correlation is different with different nodes topological characteristics. In different economic periods, QFII represented different connection patterns and they reacted to the market crash spontaneously. Thus, this paper provides the first evidence of complex network research on QFII’ investment behavior in China as an emerging market.

AB - In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small world properties, which presented mainly small world characteristics from 2005 to 2011, and scale free characteristics from 2012 to 2015. Moreover, fluctuations correlation is different with different nodes topological characteristics. In different economic periods, QFII represented different connection patterns and they reacted to the market crash spontaneously. Thus, this paper provides the first evidence of complex network research on QFII’ investment behavior in China as an emerging market.

KW - Fluctuation correlation

KW - Mutual stock holding

KW - Network topology

KW - QFII

UR - https://www.scopus.com/pages/publications/85009160418

U2 - 10.1016/j.physa.2016.12.054

DO - 10.1016/j.physa.2016.12.054

M3 - 文章

AN - SCOPUS:85009160418

SN - 0378-4371

VL - 473

SP - 77

EP - 88

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

ER -

Network topology analysis approach on China's QFII stock investment behavior

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Keywords

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