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  5. Emergence of world-stock-market network
 
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Emergence of world-stock-market network

Author(s)
Saeedian, M.  
Jamali, T.  
Kamali, M. Z.  
Bayani, H.  
Yasseri, Taha  
et al.  
Uri
http://hdl.handle.net/10197/12716
Date Issued
2019-07-15
Date Available
2022-01-11T13:02:15Z
Abstract
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.
Other Sponsorship
Cognitive Science and Technologies Council
Type of Material
Journal Article
Publisher
Elsevier
Journal
Physica A: Statistical Mechanics and its Applications
Volume
526
Copyright (Published Version)
2019 Crown Copyright
Subjects

Stock markets

Networks

Random matrix theory

Statistical theory

Emerging market

Energy levels

DOI
10.1016/j.physa.2019.04.028
Language
English
Status of Item
Peer reviewed
ISSN
0378-4371
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-nd/3.0/ie/
File(s)
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1703.08781.pdf

Size

155.54 KB

Format

Adobe PDF

Checksum (MD5)

10b4af5e868b71ee39f85f8188deabce

Owning collection
Sociology Research Collection
Mapped collections
Geary Institute Research Collection

Item descriptive metadata is released under a CC-0 (public domain) license: https://creativecommons.org/public-domain/cc0/.
All other content is subject to copyright.

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