Abstract
International stock market forms an abstract complex network through the fluctuation correlation of stock price index. Past studies of complex network almost focus on single country’s stock market. Here we investigate the whole and partial characteristics of international stock market network (ISMN) (hereinafter referred to as ISMN). For the analysis on the whole network, we firstly determine the reasonable threshold as the basic of the following study. Robustness is applied to analyze the stability of the network and the result shows that ISMN has robustness against random attack but intentional attack breaks the connection integrity of ISMN rapidly. In the partial network, the sliding window method is used to analyze the dynamic evolution of the relationship between the Chinese (Shanghai) stock market and the international stock market. The connection between the Chinese stock market and foreign stock markets becomes increasingly closer, and the links between them show a significant enhancement especially after China joined the WTO. In general, we suggest that transnational investors pay more attention to some significant event of the stock market with large degree for better risk-circumvention.
Highlights
The international stock market network (ISMN) can be regarded as a complex network
Intentional attack breaks the connection integrity rapidly and reduces the connective efficiency of ISMN which indicates that nodes with large degree make essential difference to ISMN
This paper analyzes the structure characteristics of ISMN based on the whole network, subnet, and single node with the application of complex network theory
Summary
The international stock market network (ISMN) can be regarded as a complex network. In studies of securities markets to judge the method of constructing networks, scholars usually use correlation analysis to construct securities market networks, in which the nodes are stocks and the edges between nodes are the price fluctuation relationships of stocks. Mantegna was the first to use the correlation between stocks to build the stock market network [1]; he selected the main connections between the nodes and generated a tree graph to reveal the hierarchy of the network by adopting MST. Gałązka studied the stock market of Poland by constructing a weighted complex network and MST [12]; the results showed that the Polish. In all the aforementioned studies, static networks are constructed even if a stock market is a changing complex system; we adopt the sliding window method to study the dynamic law of the ISMN and we come to an interesting finding: there exists enhancement in the links between the Chinese stock market and the foreign stock markets after China joined the WTO.
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