4.7 Article

Price fluctuation in the energy stock market based on fluctuation and co-fluctuation matrix transmission networks

Journal

ENERGY
Volume 117, Issue -, Pages 73-83

Publisher

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

Funding

  1. National Natural Science Foundation of China [71173199]
  2. China Scholarship Council [201406400004]
  3. Humanities and Social Sciences Planning Funds Project under the Ministry of Education of the PRC [10YJA630001]
  4. Fundamental Research Funds for the Central Universities [2-9-2014-104]

Ask authors/readers for more resources

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.

Authors

I am an author on this paper
Click your name to claim this paper and add it to your profile.

Reviews

Primary Rating

4.7
Not enough ratings

Secondary Ratings

Novelty
-
Significance
-
Scientific rigor
-
Rate this paper

Recommended

No Data Available
No Data Available