中文摘要：

股票关联网络弹性衡量了股票间价格波动关联模式的稳定性,其与市场运行状态之间密切相关。构建动态演化的中国沪深A股股票关联网络,运用动态熵方法衡量网络弹性。建立了网络弹性与市场运行状态变量之间的向量自回归模型,运用格兰杰因果关系检验及脉冲响应函数,创新性地分析了它们之间的动态相互影响关系。实证研究结果表明,网络弹性是市场指数收益的格兰杰原因,市场指数收益波动是网络弹性的格兰杰原因。网络弹性冲击对于市场指数收益具有较长期的负向影响,市场指数收益波动冲击对于网络弹性具有较长期的正向影响。随着滞后期数的增加,上述影响强度均呈现先增强后减弱的变化规律。

英文摘要：

The stability of cross-correlation of stock returns can be measured by resilience of stock market network.It is closely related with market behaviors.This paper constructs dynamic Chinese stock market networks,and measures network resilience by dynamic entropy.We establish vector auto-regression models of network resilience and market behavior.Then the Granger causal relation test and impulse response function are used to analyze the dynamic relationships between market behaviors and network resilience.The empirical results demonstrate that the network resilience Granger causes return of market index,and the standard deviation of index return Granger causes network resilience.The impulse of network resilience has long-term negative effects on the index return,and the standard deviation of index return has long-term positive effects on network resilience.The above mentioned effects are first strengthened and then weakened with the increase of lagged period.