Evolution Characteristic Study Of Chinesefinancial Market Based On Correlationanalysis

As part of the economic fields,financial market is playing an important role in our daily life.Financial theory and empirical studies have attracted a great interest of the scientists from different disciplines.Based on empirical data of the Chinese financial market,we investigate the financial dynamics by employing different correlation analysis methods,with the main work and achievements as follows:(1)Based on partial correlation analysis,the impact of various factors of the financial assets on Chinese financial market was investigated.Firstly,we investigate the native index effect on financial market,by comparing the Pearson correlation and partial correlation considering the native index.Secondly,we investigate the individual stock effect on financial market,by comparing the partial correlation considering the native index and extended partial correlation considering both the native index and the individual stock.Thirdly,based on the China Securities Regulatory Commission(CSRC)classification of stocks,we study the business sector effect on individual stocks and the correlation between different sectors.Finally,we investigate the external index effect on financial market,by comparing the partial correlation considering the native index and extended partial correlation considering both the native index and the external index.The results show that the native market index has a great impact on the stock correlations,while the external indices including the United States,European and Asian stock market index have a weak impact on the stock correlations.Stocks may be affected by different sectors,but the main impact from their own sectors or closely related sectors.Financial and insurance sector is weakly correlated with other sectors.(2)Structure dynamics is studied,based on rank correlation analysis.Firstly,the time of the stock is divided into monthly and quarterly units.Secondly,According to the time division,we study the Kendall rank correlation coefficient ? between the stock markets of different time periods,where the coefficient ? is used to describe the structure similarity of stock market.Thirdly,we investigate the Pearson correlation coefficient between coefficient ? and price return,to detect the relation between the market structure similarity and the price return.Finally,we study the evolution with time for the coefficient ?,to study the sustainability of the market similarity.The results show that the market structure similarity is negatively correlated with the pricereturn in most time,and the structure similarity decays rapidly with the time interval.(3)The geographical characteristics of Chinese stock market was investigated.Firstly,we employ the principal component analysis to study the importance of the provincial administrative regions,based on the daily data of individual stocks in the Chinese stock market.Secondly,we study the location-dependent correlation dynamics.Finally,we study the distance distribution and the distance-dependent correlation.The results show that,the stock location has an impact on the financial dynamics,except for the large financial fluctuation time of the Shenzhen market.A crossover behavior is observed for the stock distance distribution.The probability of the short distance is much greater than that of the long distance.The average stock correlation is found to weakly decay with the stock distance for the Shanghai stock market,but stays nearly stable for different stock distance for the Shenzhen stock market.In summary,we investigate the evolution characteristics of the real financial markets,which can provide theoretical evidence for the risk control of financial system.