Journal
ENERGY
Volume 117, Issue -, Pages 73-83Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.energy.2016.10.054
Keywords
Energy financial market; Energy stock; Co-fluctuation; Co-fluctuation matrix transmission network; Complex network theory
Categories
Funding
- National Natural Science Foundation of China [71173199]
- China Scholarship Council [201406400004]
- Humanities and Social Sciences Planning Funds Project under the Ministry of Education of the PRC [10YJA630001]
- Fundamental Research Funds for the Central Universities [2-9-2014-104]
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Few studies address fluctuation and co-fluctuation patterns in the short term or their roles and transmission pathways over the long term. Here, we used the 10-year daily price of the NASDAQ Top 10 listed energy companies to obtain daily returns of each energy stock. The daily fluctuation and co-fluctuation patterns, roles and relationships were studied based on the fluctuation transmission network (FTN) and co-fluctuation matrix transmission network (CMTN). We found that each energy stock has a different price fluctuation feature, and any two of them have obvious positive correlations; however, only four ninths of them have spillover relations. For the FTN, we transformed each daily return into a symbol and combined the symbols into a fluctuation pattern; next, the fluctuation pattern was taken as a node and the pattern adjacent relations as edges to construct the network. For the CMTN, we transferred the daily return relations for any two energy stocks to the daily co-fluctuation matrices and then constructed the network based on the time adjacent relations. Then, we used and also defined some coefficients to analyze the roles of each fluctuation and co-fluctuation pattern and their relationships. This paper provides a novel method for researching fluctuations in energy financial market. (C) 2016 Elsevier Ltd. All rights reserved.
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