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Emergence of world-stock-market network

Author

Listed:
  • Saeedian, M.
  • Jamali, T.
  • Kamali, M.Z.
  • Bayani, H.
  • Yasseri, T.
  • Jafari, G.R.

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.

Suggested Citation

  • Saeedian, M. & Jamali, T. & Kamali, M.Z. & Bayani, H. & Yasseri, T. & Jafari, G.R., 2019. "Emergence of world-stock-market network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    • Handle: RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119303942
    DOI: 10.1016/j.physa.2019.04.028
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    Citations

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    Cited by:

    1. Hanie. Vahabi & Ali Namaki & Reza Raei, 2020. "Comparing the collective behavior of banking industry," Papers 2011.02026, arXiv.org.
    2. Ali Namaki & Jamshid Ardalankia & Reza Raei & Leila Hedayatifar & Ali Hosseiny & Emmanuel Haven & G. Reza Jafari, 2020. "Analysis of the Global Banking Network by Random Matrix Theory," Papers 2007.14447, arXiv.org.
    3. Allahyari, N. & Hosseiny, A. & Abedpour, N. & Jafari, G.R., 2024. "Analyzing the heterogeneous structure of the genes interaction network through the random matrix theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).

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