Analyzing the Hong Kong Stock Market Structure: A Complex Network Approach

18 Pages Posted: 21 Jul 2015

See all articles by Shuo Huang

Shuo Huang

Department of Economics, Hong Kong Baptist University

Sheung-Chi Chow

The Hang Seng University of Hong Kong; Hong Kong Baptist University (HKBU)

Ronghua Xu

City University of Hong Kong (CityUHK)

Wing-Keung Wong

Asia University, Department of Finance

Date Written: July 20, 2015

Abstract

This article develops a stock network by investigating 1065 stocks’ return rate series under Hong Kong stock market from November 2011 to February 2015. Regarding individual stocks as nodes and the corresponding correlation of return rate series as edges, the stock network depicts the topologic structure of the large scale of stocks under main board of Hong Kong Equity Securities. Specially, various thresholds are chosen to compare the network features. A number of network methods were used to examine the topological structure of the stock market, which include degree distribution, clustering coefficient and component structure. The empirical result suggests that Hong Kong stock network subjects to power-law distribution, and that there are only a little amount of stocks that perform large impact on the whole market in a price fluctuation sense. More specially, the stocks with largest impact are identified via the calculation of average strength of node, most of which are listed companies in pillar industries. However, most of the stocks have modest impact on the whole market. It is so far the largest scale stock network in Hong Kong financial market. This study provides a topologic analysis for series correlation research of stock market.

Keywords: network; stock market; node strength; power-law distribution

JEL Classification: C49, G19

Suggested Citation

Huang, Shuo and Chow, Sheung-Chi and Xu, Ronghua and Wong, Wing-Keung, Analyzing the Hong Kong Stock Market Structure: A Complex Network Approach (July 20, 2015). Available at SSRN: https://ssrn.com/abstract=2633433 or http://dx.doi.org/10.2139/ssrn.2633433

Shuo Huang

Department of Economics, Hong Kong Baptist University ( email )

Department of Economics
Kowloon, Hong Kong
Hong Kong

Sheung-Chi Chow

The Hang Seng University of Hong Kong ( email )

Hang Shin Link
Siu Lek Yuen
Shatin, Hong Kong
China

Hong Kong Baptist University (HKBU) ( email )

Department of Economics
Kowloon, Hong Kong
Hong Kong

Ronghua Xu

City University of Hong Kong (CityUHK)

83 Tat Chee Avenue
Kowloon
Hong Kong

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
225
Abstract Views
1,341
rank
167,140
PlumX Metrics