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The data in this paper was collected from the semi-annual reports between 2003 and 2012 which disclosed the Chinese fund management companies' shareholdings in different listed companies. The holdings-based network of Chinese fund management companies is constructed by taking fund management companies as the nodes, the holding of stock of the same listed company at the same period as the edges, and the number of the listed companies holding at the same time as the weight of the edges. Based on the methods such as statistical physics, etc., the stability of the networks at different times is analyzed, and then the correlation of the holding behavior between the nodes with different topological characteristics and three different sets of nodes are calculated and analyzed. Three different sets are the set of nodes in the full graph with a given stock at t-1 (the first type of nodes), the set of nodes in the holing-based network without holding a given stock at t-1 (the second type of nodes), and the set of the new nodes which appear at t (the third type of nodes). The result shows as follows. Firstly, the correlation coefficient of the holding behavior between the node and the second type of nodes rises with the node clustering coefficient increasing; secondly, the node holding behavior is highly correlated with the second type of nodes and with the third type of nodes only when the values of the node average degree and strength are high; finally, the node holding behavior is not related to the third type of nodes at all. This paper propose a new method to study the correlation of stock market, and it is a basis for the further investigation on the structure equivalence network in stock market and also the differences of the importance between the nodes.
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Keywords:
- holding-based network /
- topological characteristics /
- holding behavior /
- fluctuation correlation
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[12] Callen J L, Fang X H 2013 J. Banking Finance 37 3047
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[14] Wang G J, Xie C, Chen S, Yang J J, Yang M Y 2013 Physica A 392 3715
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[19] Hiang Liow K 2012 Real Estate Economics 40 97
[20] Cao G, Xu L, Cao J 2012 Physica A 391 4855
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[22] Wang G J, Xie C 2012 Acta Phys. Pol. B 43 2021
[23] Jegadeesh N, Titman S 1993 J. Finance 48 65
[24] Shiller R J, Pound J 1989 J. Econ. Behav. Organ. 12 47
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[26] Kacperczyk M, Seru A 2007 J. Finance 62 485
[27] Wasserman S, Fraut K 1994 Social Network Analysis: Methods and Application (New York: Cambridge University Press) p356
[28] Mao X M, Sun K, Ouyang Q 2002 Chin. Phys. 11 1106
[29] Liu J G, Ren Z M, Guo Q, Wang B H 2013 Acta Phys. Sin. 62 178901 (in Chinese) [刘建国, 任卓明, 郭强, 汪秉宏 2013 62 178901
[30] Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[31] Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[32] Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phys. Sin. 60 068902 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2011 60 068902]
[33] Palla G, Barabási A L 2007 Nature 446 664
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[1] Xin B G, Chen T, Liu Y Q 2011 Acta Phys. Sin. 60 048901 (in Chinese) [辛宝贵, 陈通, 刘艳芹 2011 60 048901]
[2] Zhang Y, Zhang J W, Wang Z X 2004 Physica 33 734 (in Chinese) [张宇, 张建玮, 王正行 2004 物理 33 734]
[3] Huang W Q, Zhuang X T, Yao S 2009 Physica A 388 2956
[4] Mantegna R N 1999 Eur. Phys. J. B 11 193
[5] Battiston S, Rodrigues J F, Zeytinoglu H 2007 Adv. Complex Syst. 10 29
[6] Ma Y, Zhuang X, Li L 2011 Physica A 390 749
[7] Park K, Shin H 2013 Eng. Appl. Artif. Intel. 26 1550
[8] Caraiani P 2013 Physica A 391 3629
[9] Cohen L, Frazzini A, Malloy C 2007 J. Polit. Econ. 116 951
[10] Pareek A 2012 AFA 2010 Atlanta Meetings Paper (Georgia: Atlant)
[11] Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[12] Callen J L, Fang X H 2013 J. Banking Finance 37 3047
[13] An H, Zhang T 2013 J. Corp. Finance 21 1
[14] Wang G J, Xie C, Chen S, Yang J J, Yang M Y 2013 Physica A 392 3715
[15] Kim D H, Cha M Y, Lee J W 2011 Comput. Phys. 182 243
[16] Jayasuriya S A 2011 Emerg. Markets Rev. 12 418
[17] Kotkatvuori-Örnberg J, Nikkinen J, Äijö J 2013 International Rev. Financial Analysis 28 70
[18] Heaney R, Sriananthakumar S 2012 J. Empir. Finance 19 583
[19] Hiang Liow K 2012 Real Estate Economics 40 97
[20] Cao G, Xu L, Cao J 2012 Physica A 391 4855
[21] Chang C L, McAleer M, Tansuchat R 2012 North Amenican J. Econonics Finance 25 116
[22] Wang G J, Xie C 2012 Acta Phys. Pol. B 43 2021
[23] Jegadeesh N, Titman S 1993 J. Finance 48 65
[24] Shiller R J, Pound J 1989 J. Econ. Behav. Organ. 12 47
[25] Hong H, Kubik J D, Stein J C 2005 J. Finance 60 2801
[26] Kacperczyk M, Seru A 2007 J. Finance 62 485
[27] Wasserman S, Fraut K 1994 Social Network Analysis: Methods and Application (New York: Cambridge University Press) p356
[28] Mao X M, Sun K, Ouyang Q 2002 Chin. Phys. 11 1106
[29] Liu J G, Ren Z M, Guo Q, Wang B H 2013 Acta Phys. Sin. 62 178901 (in Chinese) [刘建国, 任卓明, 郭强, 汪秉宏 2013 62 178901
[30] Yook S H, Jeong H, Barabási A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[31] Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[32] Gao X Y, An H Z, Liu H H, Ding Y H 2011 Acta Phys. Sin. 60 068902 (in Chinese) [高湘昀, 安海忠, 刘红红, 丁颖辉 2011 60 068902]
[33] Palla G, Barabási A L 2007 Nature 446 664
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