2017/03/26 by Meghdad Saeedian, Tayeb Jamali, Saeedian, M. +9
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Nonlinear Dynamics and Pattern Formation #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1703.08781
openalex publication_date 2017/03/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the collective behavior of a set of forty influential markets in the world economy with the aim of exploring a global financial structure that could be called world-stock-market network. 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 their structural formation. This finding together with the results obtained from the same calculation on four stock markets reinforce 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 dendrogram, drawn by at least thirty percent of correlation, shows that the world financial market comprises three communities each of which includes stock markets with geographical proximity.