Emergence of world-stock-market network

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Title: Emergence of world-stock-market network
Authors: Saeedian, M.Jamali, T.Kamali, M. Z.Bayani, H.Yasseri, Tahaet al.
Permanent link: http://hdl.handle.net/10197/12716
Date: 15-Jul-2019
Online since: 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.
Funding Details: 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
Keywords: Stock marketsNetworksRandom matrix theoryStatistical theoryEmerging marketEnergy levels
DOI: 10.1016/j.physa.2019.04.028
Language: en
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/
Appears in Collections:Sociology Research Collection
Geary Institute Research Collection

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