Analysis of cross-correlations between financial markets after the 2008 crisis

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dc.citation.epage5045en_US
dc.citation.issueNumber20en_US
dc.citation.spage5027en_US
dc.citation.volumeNumber392en_US
dc.contributor.authorSensoy, A.en_US
dc.contributor.authorYuksel, S.en_US
dc.contributor.authorErturk, M.en_US
dc.date.accessioned2016-02-08T09:34:45Z
dc.date.available2016-02-08T09:34:45Z
dc.date.issued2013en_US
dc.departmentDepartment of Mathematicsen_US
dc.description.abstractWe analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients arise from randomness. We show that the eigenvector of the largest deviating eigenvalue of C represents a global market itself. We reveal that high volatility of financial markets is observed at the same times with high correlations between them which lowers the risk diversification potential even if one constructs a widely internationally diversified portfolio of stocks. We identify and compare the connection and cluster structure of markets before and after the crisis using minimal spanning and ultrametric hierarchical trees. We find that after the crisis, the co-movement degree of the markets increases. We also highlight the key financial markets of pre and post crisis using main centrality measures and analyze the changes. We repeat the study using rank correlation and compare the differences. Further implications are discussed.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T09:34:45Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2013en
dc.identifier.doi10.1016/j.physa.2013.06.046en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/20763
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2013.06.046en_US
dc.source.titlePhysica A: Statistical Mechanics and its Applicationsen_US
dc.subjectCentrality measuresen_US
dc.subjectComplex systemsen_US
dc.subjectCross-correlationsen_US
dc.subjectMinimal spanning treeen_US
dc.subjectRandom matrix theoryen_US
dc.subjectCentrality measuresen_US
dc.subjectCross-correlation coefficienten_US
dc.subjectCross-correlation matrixen_US
dc.subjectCross-correlationsen_US
dc.subjectMinimal spanning treeen_US
dc.subjectRandom matrix theoryen_US
dc.subjectRisk diversificationen_US
dc.subjectUniversal propertiesen_US
dc.subjectEigenvalues and eigenfunctionsen_US
dc.subjectInternational tradeen_US
dc.subjectLarge scale systemsen_US
dc.subjectMatrix algebraen_US
dc.subjectRandom variablesen_US
dc.subjectFinanceen_US
dc.titleAnalysis of cross-correlations between financial markets after the 2008 crisisen_US
dc.typeArticleen_US

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