Analysis On The Topological Properties And Cluster Structure Of Commercial Bank Stock Networks In The Process Of Interest Rate Liberalization

Interest rate liberalization reform in our country started in 1996,which has been basically completed after more than 20 years of gradual reform.The point of view of interest rate deregulation becomes main stream along with the interest rate regulated-policy lost its advantage.Now it is common sense that interest rate should be decide by market force rather than by the officer in planed economy.The generated uncertainties will have a significant impact on state-owned commercial banks which are alter from the planned economy model and joint-stock commercial banks.Interest rate deregulation has altered the commercial bank’s living environment and their behavior.As the important part of modern financial system,banks play a crucial role in the whole financial system and economic environment.In the process of interest rate liberalization,bank stocks will also be influenced by the interest rate policy,stock price volatility will affect the stability of the banking sector,and then influence the development of the real economy.Based on these,we apply the method of complex network and construct the stock yield’s network of commercial banks to compare the changes of the networks’topological properties and clustering structure of commercial bank stocks in the process of interest rate liberalization.At first,we put the commercial banks which listed in 2008 to 2016 as the research object,and using the annual data to build the stock return rate networks.We take the loan interest rate liberalization(2013)and the deposit interest rate liberalization(2015)as the key events.In different periods,we calculate the commercial correlation coefficient among stock returns respectively,The next step is establishing minimum spanning tree,hierarchical tree and planar maximal filtering graph base on the correlation coefficient of stock returns.We analyze the topological properties of the minimum spanning tree and planar maximal filtering graph,including the average path length,clustering coefficient and degree.By discussing whether networks have small-world and scale-free properties,we analysis the change of stocks networks’topological properties in the process of interest rate liberalization.And then we analyze the clustering effect and the change of clustering structure by the minimum spanning tree and hierarchical tree.According to the empirical research,we can draw the following conclusions:Firstly,the commercial banks has strong correlation between stock returns,and the correlation has a tendency to weaken with the development of the reformation;Secondly,the network constructed have small-world effect properties but without scale-free effect;Thirdly,the commercial banks stock market exists obvious clustering effect,state-owned banks,joint-stock commercial banks and city commercial banks as its different nature show different clustering effect,but this effect will become unstable in the process of interest rate liberalization.