Topical Section on EconoplysicsNo Access

A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES

RICARDO COELHO

School of Physics, Trinity College Dublin, Dublin 2, Ireland

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PETER RICHMOND

School of Physics, Trinity College Dublin, Dublin 2, Ireland

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STEFAN HUTZLER

School of Physics, Trinity College Dublin, Dublin 2, Ireland

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, and

BRIAN LUCEY

Institute for International Integration Studies and School of Business, Trinity College Dublin, Dublin 2, Ireland

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https://doi.org/10.1142/S0219525908001970Cited by:4 (Source: Crossref)

Abstract

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to separate stocks according to their geographical location, provided that they are not strongly correlated. These results are compared with the results from random time series created using the market model, where the main factor is the mean of returns of the stocks of each sector.

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