| 基于余弦相似度(CS)和最小生成树(MST)的基金市场复杂网络研究 |
 点此下载全文 |
| 引用本文：闫新国1,2，谢 赤1，朱玉国2，杨敏佳2.基于余弦相似度(CS)和最小生成树(MST)的基金市场复杂网络研究[J].财经理论与实践,2020,(2):55-61 |
| 摘要点击次数: 778 |
| 全文下载次数: 0 |
|
|
| 中文摘要:以中国基金市场中123家基金公司持有的投资组合为样本，综合运用余弦相似度(CS)和最小生成树(MST)方法，考量基金市场复杂网络。结果显示：各家基金公司持有股票组合的相似程度比持有债券组合的相似程度更高，表明他们持有的债券组合较之股票组合更加多元化，基金公司持有的股票相对集中于市值大、成长性高的公司。同时，全部资产投资组合、股票投资组合和债券投资组合等三类基金MST网络的节点度均服从幂律分布，表明大多数基金公司以少数强影响力基金公司为中心聚集起来，彼此之间具有较强的业务关联。此种网络结构特征可能导致市场风险向基金聚集团体集中，其抵御系统性风险的能力偏弱，也不利于满足投资者的理财多元化需求。 |
| 中文关键词:基金市场 复杂网络 最小生成树 余弦相似度 |
| |
| The Study of Fund Market Complex Network Based on Cosine Similarity and MST Method |
|
|
| Abstract:In this paper, we construct the complex network of fund companies by using cosine similarity and minimum spanning tree (MST). We choose the portfolio data of 123 fund companies as dataset. Through the empirical analysis we find that the portfolio of stocks is more similarity than portfolios of bonds held by fund companies, which implies that fund companies have a diversified portfolio of bonds and the portfolios are less similar to each other. The fund companies hold the stocks of the companies which have large market value and good potential for growth. The nodes' degree of MSTs of all asset portfolios, stock portfolios, and bond portfolios obey power law distribution, which implies that a few fund companies with strong influence are centralized by a large number of fund companies forming a central group. Such network structure may contribute market risks and reduce the ability of financial markets to resist systemic risk, which is not conducive to meeting diversified financial needs of investors. |
| keywords:fund market complex network minimum spanning tree cosine similarity |
| 查看全文 查看/发表评论 下载pdf阅读器 |
次