Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2001-03-20
Physica A 301, 397-406 (2001).
Physics
Condensed Matter
Statistical Mechanics
Significantly extended version with 2 new figures. Now: 4 pages, 5 figures, 1 table
Scientific paper
10.1016/S0378-4371(01)00370-3
The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence of strong interactions between individual economies, as manifested by three largest eigenvalues and the corresponding set of stable, non-random eigenvectors. The observed correlation structure is robust with respect to changes in the time horizon of returns ranging from 1 to 10 trading days, and to replacing individual returns with just their signs. This last observation confirms that it is mostly correlations in signs and not absolute values of fluctuations, which are responsible for the observed effect. Correlations between different trading days seem to persist for up to 3 days before decaying to the level of the background noise.
No associations
LandOfFree
Measures of globalization based on cross-correlations of world financial indices does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Measures of globalization based on cross-correlations of world financial indices, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Measures of globalization based on cross-correlations of world financial indices will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-1505