英文标题：
《Market correlation structure changes around the Great Crash》
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作者：
Rui-Qi Han (ECUST), Wen-Jie Xie (ECUST), Xiong Xiong (TJU), Wei Zhang
(TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2016
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英文摘要：
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges. Both raw correlation matrix and partial correlation matrix with respect to the market index in two time periods of one year are investigated. We find that the Chinese stocks have stronger average correlation and partial correlation in 2008 than in 2007 and the average partial correlation is significantly weaker than the average correlation in each period. Accordingly, the largest eigenvalue of the correlation matrix is remarkably greater than that of the partial correlation matrix in each period. Moreover, each largest eigenvalue and its eigenvector reflect an evident market effect, while other deviating eigenvalues do not. We find no evidence that deviating eigenvalues contain industrial sectorial information. Surprisingly, the eigenvectors of the second largest eigenvalues in 2007 and of the third largest eigenvalues in 2008 are able to distinguish the stocks from the two exchanges. We also find that the component magnitudes of the some largest eigenvectors are proportional to the stocks\' capitalizations.
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中文摘要：
基于对1228只在上海和深圳证券交易所上市的股票高频收益率的随机矩阵分析，我们对2008年危机发生前后的中国股市进行了对比分析。研究了一年中两个时间段内市场指数的原始相关矩阵和偏相关矩阵。我们发现，2008年中国股市的平均相关和偏相关均强于2007年，且平均偏相关显著弱于各时期的平均相关。因此，在每个周期内，相关矩阵的最大特征值显著大于偏相关矩阵的最大特征值。此外，每个最大特征值及其特征向量都反映了明显的市场效应，而其他偏离特征值则没有。我们没有发现偏离特征值包含工业部门信息的证据。令人惊讶的是，2007年第二大特征值和2008年第三大特征值的特征向量能够区分这两个交易所的股票。我们还发现，一些最大特征向量的分量大小与股票的资本化成正比。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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