Emergence of world-stock-market network

Autor: Taha Yasseri, Meghdad Saeedian, Gholamreza Jafari, M. Z. Kamali, Tayeb Jamali, H. Bayani
Přispěvatelé: Cognitive Sciences and Technologies Council (Iran)
Rok vydání: 2017
Předmět:
Zdroj: Digital.CSIC. Repositorio Institucional del CSIC
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DOI: 10.48550/arxiv.1703.08781
Popis: Forty stock market indices of the world with the highest GDP has been studied. We show each market is a part of a global structure, that we call “world-stock-market network”. Where the correlation between two markets is not independent of the correlation between two other markets. Towards this end, we analyze the cross-correlation matrix of the indices of these forty markets using Random Matrix Theory (RMT). We find the degree of collective behavior among the markets and the share of each market in the world global network. This finding together with the results obtained from the same calculation on four stock markets reinforces the idea of a world financial market. Finally, we draw the dendrogram of the cross-correlation matrix to make communities in this abstract global market visible. The results show that the world financial market comprises three communities each of which includes stock markets with geographical proximity.
GRJ and MS gratefully acknowledge support from Cognitive Science and Technologies Council grant No. 2694.
Databáze: OpenAIRE
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