英文标题：
《Dynamic structure of stock communities: A comparative study between
stock returns and turnover rates》
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作者：
Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li, Li-Xin Zhong, Fei Ren
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最新提交年份：
2016
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英文摘要：
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the aspects of both price returns and turnover rates, by using a combination of the PMFG and infomap methods based on a distance matrix. We find that a few of the largest communities are composed of certain specific industry or conceptional sectors and the correlation inside a sector is generally larger than the correlation between different sectors. In comparison with returns, the community structure for turnover rates is more complex and the sector effect is relatively weaker. The financial dynamics is further studied by analyzing the community structures over five sub-periods. Sectors like banks, real estate, health care and New Shanghai take turns to compose a few of the largest communities for both returns and turnover rates in different sub-periods. Several specific sectors appear in the communities with different rank orders for the two time series even in the same sub-period. A comparison between the evolution of prices and turnover rates of stocks from these sectors is conducted to better understand their differences. We find that stock prices only had large changes around some important events while turnover rates surged after each of these events relevant to specific sectors, which may offer a possible explanation for the complexity of stock communities for turnover rates.
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中文摘要：
股票市场群体结构的检测对于金融动力学研究和投资组合风险估计具有重要的理论和现实意义。本文结合PMFG和基于距离矩阵的infomap方法，从价格收益率和换手率两个方面研究了中国股市的社区结构。我们发现，一些最大的社区由特定的行业或概念部门组成，部门内部的相关性通常大于不同部门之间的相关性。与回报率相比，流动率的社区结构更为复杂，行业效应相对较弱。通过分析五个子阶段的社区结构，进一步研究了金融动态。银行、房地产、医疗保健和新上海等行业在不同的子时期轮流组成几个回报率和营业额都最大的社区。即使在相同的子周期内，两个时间序列的不同排名顺序的社区中也出现了几个特定的部门。为了更好地理解它们之间的差异，我们对这些部门的股票价格演变和换手率进行了比较。我们发现，股票价格仅在一些重要事件前后发生较大变化，而在这些事件发生后，与特定行业相关的换手率大幅上升，这可能为股票群体换手率的复杂性提供了一个可能的解释。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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