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Geography and distance effect on financial dynamics in the Chinese stock market

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Listed:
  • Xing Li
  • Tian Qiu
  • Guang Chen
  • Li-Xin Zhong
  • Xiong-Fei Jiang

Abstract

Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The Shanghai city and the Guangdong province can be identified in the stock geographical sector. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with a crossover behavior observed for the stock distance distribution. The probability of the short distance is much greater than that of the long distance. The average stock correlation is found to weakly decay with the stock distance for the Shanghai stock market, but stays nearly stable for different stock distance for the Shenzhen stock market.

Suggested Citation

  • Xing Li & Tian Qiu & Guang Chen & Li-Xin Zhong & Xiong-Fei Jiang, 2016. "Geography and distance effect on financial dynamics in the Chinese stock market," Papers 1601.01753, arXiv.org, revised Mar 2016.
    • Handle: RePEc:arx:papers:1601.01753
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