Statistical properties of the stock and credit market: RMT and network topology

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We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology. The dynamics of both markets have been spotlighted throughout the subprime crisis. In this study, we compared these two markets in view of the market-wide effect from random matrix theory and eigenvalue analysis. We found that the largest eigenvalue of the credit market as a whole preceded that of the stock market in the beginning of the financial crisis and that of two markets tended to be synchronized after the crisis. The correlation between the companies of both markets became considerably stronger after the crisis as well.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2014-08
Language
English
Article Type
Article
Keywords

CROSS-CORRELATIONS; FINANCIAL-MARKETS

Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.407, pp.66 - 75

ISSN
0378-4371
DOI
10.1016/j.physa.2014.03.080
URI
http://hdl.handle.net/10203/189551
Appears in Collection
PH-Journal Papers(저널논문)
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