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IPM
30
YEARS OLD

“School of Physic”

Paper   IPM / Physic / 15966
   School of Physics
  Title: Emergence of world-stock-market network
  Author(s):
1 . M. Saeedian
2 . T. Jamali
3 . M.Z. Kamali
4 . H. Bayani
5 . T. Yasseri
6 . G.R. Jafari
  Status: Published
  Journal: Physica A: Statistical Mechanics and its Applications
  Vol.: 526
  Year: 2019
  Pages: 120792
  Supported by: IPM
  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.

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