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| The Regional Dependence of China's Stock Market and Its Dynamic Evolution Based on the Background of the Stock Market Crash in 2015 |
| WU Xianbo, HUI Xiaofeng
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| School of Management, Harbin Institute of Technology, Harbin 150001, China |
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Abstract This paper studies the regional dependence of China’s stock during the stock market crash before, during and after 2015 by calculating the mutual information of regional stock indexes among 31 regions, and analyses its dynamic evolution by using the method of rolling window. It is found that during the stock market crash, the dependence of stock market has increased sharply and it reaches the maximum value. It is also found that geographical clustering is not obvious among regions in China, and for Shandong, Jiangsu and Zhejiang, there are the most extensive links with other regions. For Guangdong, Shanghai and Beijing, there are strong links among these three regions, but weak links with other regions.
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Published: 24 June 2020
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