CAJ | 학술논문

理解股票市场内部股票间的信息溢出规律，对于股票定价、投资组合以及风险防范具有重要的意义。将传统计量经济方法与复杂网络的建模分析方法相结合，从复杂网络的视角出发，实证研究了我国股票市场内股票间的信息溢出关系及其影响因素、个股信息溢出能力分布及其影响因素。研究发现，股票间较长期收益的相互影响要强于较短期收益；股票收益率相关性较强的股票间存在更显著的信息溢出；市场因素显著增强了股票间的信息溢出效应；股票间的信息溢出效应会随着市场行情的上涨（下跌）而增强（减弱）；股票的信息溢出能力呈现尖峰、厚右尾的分布；股票成交金额对个股的信息溢出能力具有显著的正向影响。最后，最小生成树能快速而准确有效地揭示股票间信息溢出规律。
리해고표시장내부고표간적신식일출규률，대우고표정개、투자조합이급풍험방범구유중요적의의。장전통계량경제방법여복잡망락적건모분석방법상결합，종복잡망락적시각출발，실증연구료아국고표시장내고표간적신식일출관계급기영향인소、개고신식일출능력분포급기영향인소。연구발현，고표간교장기수익적상호영향요강우교단기수익；고표수익솔상관성교강적고표간존재경현저적신식일출；시장인소현저증강료고표간적신식일출효응；고표간적신식일출효응회수착시장행정적상창（하질）이증강（감약）；고표적신식일출능력정현첨봉、후우미적분포；고표성교금액대개고적신식일출능력구유현저적정향영향。최후，최소생성수능쾌속이준학유효지게시고표간신식일출규률。
Understanding the information flow between stocks in a stock market plays very important roles in stock pricing , investment portfolio and risk management .This paper integrates traditional econometrical methods with complex network modeling and analyzing methods .We empirically investigate the effects of some influencing fac-tors on the information flow between Chinese stocks , and the individual stock information flow ability distribution and its influencing factors from the perspective of complex networks .We find that the changes of time scale in return affect the information flow among stocks .Stocks with a strong correlation mean more significant information flow than stocks with a weak correlation .The market wide factors significantly strengthen the information flow effects among stocks .The information flow effects are strengthened ( weakened ) with the up ( down ) of the market . The individual stock information flow ability obeys a higher peak and fat right tail distribution .The stock transac-tion amount has a significant positive effect on the stock ’s information flow ability.Finally, we confirm, via the MST method , that the information flow among stocks could be assessed effectively with the reduced linkage rela -tionships among all links among stocks from the perspective of the overall market .