Related Researh On A+H Stocks Network

Chinese stock market is divided into A shares, B shares and H shares according to the difference of equity holders. With the opening and healthy development of Chinese capital market, more and more domestic companies choose their stock exchanges from both Shanghai and Hong Kong stock exchanges to realize dual listing.Dual listing can achieve the maximization of corporate financing and make the links between the mainland and Hong Kong stock market closely together. It is significant to improve the integration level of Chinese capital market.A+H shares have their own unique characteristics, the same ownership of a listing corporation, but the different investment group, the different circulation of stocks, the different stock market and the stock price. In order to build a more perfect Chinese capital market, China Securities Regulatory Commission adjust the regulatory system constantly, explore and reform the financial system to adapt to the economic development under the new situation. So it is very important to study the linkage between A+H shares and the dynamic evolution process of A+H stock market.In this paper, we take A+H shares stock price data of the listed companies from2008 to 2014 as the research object. We study the correlations of A+H stock market based on both static time series and dynamic time series from the perspective of complex network and weighted network theory. Firstly, we calculate the Pearson correlation coefficient among different periods based on the relative value of the mean logarithm yield of price. We define the similar distance among stocks and build the minimum spanning tree and the hierarchical tree respectively to explore and analyze the topology of A+H stock network.Then, we chose financial index system of listed companies as sample data and applied TOPSIS to calculate the intrinsic value of listed companies. Moreover, we defined the influence of node in the stock network as a new way of empowerment.We constructed weighed stock network with threshold value method by using Pajek software.Finally, we calculate the correlation coefficient distribution, mean correlation coefficient and mean distance using moving window technique to analyze the dynamic evolution of the stock network with time series. And we detect the community structure of stock network by Fast Newman algorithm to explore thecharacteristics of the A+H stock market better.The results of the study indicate that A+H shares network are stable in most of the financial time series. The same industry stocks in the stock market show the strong correlation, the stocks have strong cluster effect within a small range. There are also strong linkage among the inter industries.