Title

Topological characteristics of the Hong Kong stock market : a test-based P-threshold approach to understanding network complexity

Document Type

Journal article

Source Publication

Scientific Reports

Publication Date

1-1-2017

Volume

7

Article Number

41379

Publisher

Nature Publishing Group

Abstract

In this paper, we analyze the relationship among stock networks by focusing on the statistically reliable connectivity between financial time series, which accurately reflects the underlying pure stock structure. To do so, we firstly filter out the effect of market index on the correlations between paired stocks, and then take a t-test based P-threshold approach to lessening the complexity of the stock network based on the P values. We demonstrate the superiority of its performance in understanding network complexity by examining the Hong Kong stock market. By comparing with other filtering methods, we find that the P-threshold approach extracts purely and significantly correlated stock pairs, which reflect the well-defined hierarchical structure of the market. In analyzing the dynamic stock networks with fixed-size moving windows, our results show that three global financial crises, covered by the long-range time series, can be distinguishingly indicated from the network topological and evolutionary perspectives. In addition, we find that the assortativity coefficient can manifest the financial crises and therefore can serve as a good indicator of the financial market development.

DOI

10.1038/srep41379

E-ISSN

20452322

Funding Information

This research has been partially supported by grants from Asia University, Lingnan University, Hong Kong Baptist University, the Research Grants Council of Hong Kong (project numbers 12502814 and 12500915), the Ministry of Science and Technology, R.O.C., and the Huawei Technologies Co. Ltd., China. {12502814, 12500915}

Publisher Statement

Copyright © The Author(s) 2017. This work is licensed under a Creative Commons Attribution 4.0 International License. Access to external full text or publisher's version may require subscription.

Full-text Version

Publisher’s Version

Recommended Citation

Xu, R., Wong, W.-K., Chen, G., & Huang, S. (2017). Topological characteristics of the Hong Kong stock market: A test-based P-threshold approach to understanding network complexity. Scientific Reports, 7, art. no. 41379. doi: 10.1038/srep41379

Share

COinS