金融危机下证券市场网络结构演化的实证分析

摘要

Taking the components of HIS as samples under financial crisis , and by building complex network with mini-mum spanning tree algorithm , the paper analyzes the dynamic characteristics of network structure from macroscopic and microscopic perspective .Empirical results showed that the minimum spanning tree length , network diameter , characteris-tic path length dropped lower at the initial stages of crisis;during the medium -term, such parameters fluctuated and got close to the initial level and returned to initial levels finally; cluster coefficient and average degree increased gradually and reached maximal value at the initial phase;and then these value at this level fluctuated and rose to a higher level at the end of financial crisis;during the medium-term of financial crisis , the number of stock with larger node degree re-duced, and the number of center node increased .%本文以金融危机下的恒生指数成份股为研究样本，利用最小生成树算法构建复杂网络，从宏观、微观两个层面分析网络结构的动态变化特征，结果发现：最小生成树长度、直径、特征路径长度均在金融危机初期下降至较低水平，中期在波动中有所上升并逐渐接近初始水平，后期则在经历一番波动后又重回初始水平；网络聚合系数、平均度则在金融危机初期上升至较高水平，中期则维持在此水平并稍有波动，后期下降并维持在较初期更高的水平；在金融危机中期，节点的度较大的股票数量减少，中心节点数量剧增。