Random matrix approach to group correlations in development country financial market

Abstract

Financial market is a borderless economic activity, everyone in this world has the right to participate in stock transactions. The movement of stocks is interesting to be discussed in various sciences, ranging from economists to mathe-maticians try to explain and predict the stock movement. Econophysics, as a discipline that studies the economic behavior using one of the methods in particle physics to explain stock movement. Stocks tend to be unpredictable probabilistic regarded as a probabilistic particle. Random Matrix Theory is one method used to analyze probabilistic particle is used to analyze the characteristics of the movement in the stock collection of developing country stock market shares of the correlation matrix. To obtain the characteristics of the developing country stock market and use characteristics of stock markets of developed countries as a parameter for comparison. The result shows market wide effect is not happened in Philipine market and weak in Indonesia market. Contrary, developed country (US) has strong market wide effect.