Feng Sida, Sun Qingru, Liu Xueyong, Xu Tianran
The College of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China.
School of Economics, Hebei University, Baoding 071000, China.
Entropy (Basel). 2022 Aug 12;24(8):1108. doi: 10.3390/e24081108.
Financial stocks in the industry chain interact notably because of close economic and technical relationships. Some participants pay particular attention to one industry chain and are concerned with different investment horizons. The motivation for this study is to offer more targeted information to various market participants who focus on different time scales in one industry chain from a systematic perspective by combining the GARCH-BEKK, heterogeneous network, and wavelet analysis methods. The findings are as follows: (1) For parties who prefer to take more risks to gain higher returns, scale 2 (4-8 days) is a good option, while long-term investment (32-128 days) is suitable for conservative investors. (2) In most cases, some links in the industry chain are particularly sensitive to changes in stocks in other links. (3) The influence, sensitivity, and intermediary of stocks in the industry chain on different time scales were explored, and participants could use the resulting information to monitor the market or select stocks. (4) The structures, key players, and industry chain attributes of the main transmission paths differ on multi-time scales. Risk transmission can be controlled by intercepting important spillover relations within the paths.
产业链中的金融股因紧密的经济和技术关系而具有显著的相互作用。一些参与者特别关注某一产业链，并关心不同的投资期限。本研究的动机是通过结合GARCH - BEKK、异质网络和小波分析方法，从系统的角度为聚焦于某一产业链中不同时间尺度的各类市场参与者提供更具针对性的信息。研究结果如下：（1）对于那些愿意承担更多风险以获取更高回报的一方来说，第2尺度（4 - 8天）是个不错的选择，而长期投资（32 - 128天）则适合保守型投资者。（2）在大多数情况下，产业链中的某些环节对其他环节股票的变化特别敏感。（3）探究了产业链中股票在不同时间尺度上的影响力、敏感性和中介作用，参与者可利用所得信息来监测市场或选股。（4）主要传导路径的结构、关键参与者和产业链属性在多个时间尺度上有所不同。风险传导可通过拦截路径内重要的溢出关系来控制。
