Industrial association, common information spill out and industry stock indexes co-movement

QIAO Haishu, LI Ying, OUYANG Xin

Systems Engineering - Theory & Practice ›› 2016, Vol. 36 ›› Issue (11) : 2737-2751.

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Systems Engineering - Theory & Practice ›› 2016, Vol. 36 ›› Issue (11) : 2737-2751. DOI: 10.12011/1000-6788(2016)11-2737-15

Industrial association, common information spill out and industry stock indexes co-movement

  • QIAO Haishu1, LI Ying1, OUYANG Xin2
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Abstract

This paper uses complex network and co-integration techniques to investigate the major factors which influence CITIC (China International Trust and Investment Corporation) industry indices among 2005.01.05-2015.01.30. The results:In the long run, the industrial association has positive impacts on industry indexes co-movement. In the short term, industries indexes shocked by specific common information have been linked closely. Therefore, improving the information disclosure system and reducing government intervention can reduce stock price irrational co-movement of great significance.

Key words

industry stock indexes co-movement / industrial association / common information spill out / complex network / co-integration

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QIAO Haishu , LI Ying , OUYANG Xin. Industrial association, common information spill out and industry stock indexes co-movement. Systems Engineering - Theory & Practice, 2016, 36(11): 2737-2751 https://doi.org/10.12011/1000-6788(2016)11-2737-15

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Funding

The Key Program of National Social Science Foundation of China (12AZD035, 14AGL016)
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