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首页> 外文期刊>The North American journal of economics and finance >Analysis of the impact of Sino-US trade friction on China's stock market based on complex networks
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Analysis of the impact of Sino-US trade friction on China's stock market based on complex networks

机译：基于复杂网络的中美贸易摩擦对中国股市的影响分析

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This paper analyzes the impact of the Sino-US trade friction incident in 2018 on China's stock market by using the complex network methods. Firstly, we divide the Sino-US trade friction incident in 2018 into four research periods. Based on the GARCH-BEKK model and the Planar Maximum Filter Graph (PMFG) algorithm, the volatility spillover network between China's stock market sectors and the stock price correlation network of China's stock market corresponding to the above four research periods are constructed. Next, from the perspective of sectors in stock market, we use various network centrality indicators to build a systematic importance comprehensive evaluation index of industry sectors in the stock market through the principal component analysis method, to explore the impact of the Sino-US trade friction incident on the risk spillover effects of sectors in China's stock market. From the perspective of the overall stock market, we analyze the impact of Sino-US trade friction incident on the overall stability of the stock market through calculating the network topology indicators and conducting simulation experiments. Finally, the main factors affecting the stability mechanism of China's stock market are studied through the probit model. The results show that: (1) The risk spillover effect of various sectors in China's stock market changes significantly in different periods of Sino-US trade friction, and there are obvious cyclical rotation effects among various sectors (2) When some weighted stocks in the stock market abnormally fluctuate or suffer targeted shocks, the China's stock market's ability to maintain stability is weak, and the Sino-US trade friction will reduce the stability of China's stock market, and the higher the intensity of trade friction incident is, the more obvious the impact of the incident is. (3) The important factors that affect the abnormal fluctuations in China's stock market include four types of indicators: the stock market network structure, the fluctuation of important international stock indexes, the fluctuation of commodity prices in the international market, and the domestic macroeconomic indicators. This study provides a reference for China's financial regulatory authorities to conduct macro-prudential management, control systemic risks, and maintain the stability of financial market.
机译：本文通过使用复杂的网络方法分析了2018年中美贸易摩擦事件对中国股市的影响。首先，我们将2018年中美中美贸易摩擦事件分为四个研究期。基于GARCH-BEKK模型和平面最大过滤器图（PMFG）算法，建设了中国股市部门与中国股市股票价格相关网络对应于上述四个研究时期的股票价格相关网络的波动率溢出网络。接下来，从股票市场的部门的角度来看，我们使用各种网络中心指标通过主要成分分析方法在股票市场中建立一个系统的重要评价指标，探讨中美贸易摩擦的影响事件发生在中国股市中部门的风险溢出效应。从整体股市的角度来看，我们通过计算网络拓扑指标和进行仿真实验，分析中美贸易摩擦事件对股市整体稳定性的影响。最后，通过探测模型研究了影响中国股市稳定机制的主要因素。结果表明：（1）中国股市中各个部门的风险溢出效应在中美贸易摩擦不同时期显着变化，各个部门（2）之间存在明显的周期性旋转效应（2）当一些加权股股市异常波动或遭受目标冲击，中国股市保持稳定的能力薄弱，而中美贸易摩擦将降低中国股市的稳定，贸易摩擦事件的强度越高，越明显事件的影响是。 （3）影响中国股市异常波动的重要因素包括四种指标：股票市场网络结构，重要的国际股指波动，国际市场上的商品价格波动，以及国内宏观经济指标。本研究为中国的金融监管机构开展了宏观审慎管理，控制系统风险，维护金融市场的稳定性的参考。

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