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利用复杂网络与协整分析技术,揭示了2005.01.05-2015.01.30间影响中信行业股指联动的主要因素.结果发现:长期来看,产业关联关系矩阵与行业股指联动关系矩阵的相关系数显著为正,产业关联度正向影响着行业股指的长期联动.短期来看,特定投资主题带来的共同信息溢出与相关行业股指联动之间存在协整关系.因此,完善准入退出与信息披露制度、减少政府干预,对恢复股市之于实体经济“晴雨表”作用,减少股价非理性“同涨同跌”具有重要意义.
Using the complex network and cointegration analysis technology, the paper reveals the main factors affecting the linkage between the stock index of CITIC from January 1, 2005 to January 15, 2011. The results show that in the long run, the correlation coefficient of the industry related relationship matrix and industry stock index linkage matrix is significantly In the short run, there is a cointegration relationship between the common information spillover brought by a particular investment theme and the linkage of the relevant industry stock indexes. Therefore, the system of exit and disclosure of information is improved , Reduce government intervention, to restore the stock market to the real economy “barometer ” role, reduce stock price irrationality “with the rise and fall ” is of great significance.