Statistical properties of the stock and credit market: RMT and network topology

Kyuseong Lim, Min Jae Kim, Sehyun Kim and Soo Yong Kim

Physica A: Statistical Mechanics and its Applications, 2014, vol. 407, issue C, 66-75

Abstract: We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology. The dynamics of both markets have been spotlighted throughout the subprime crisis. In this study, we compared these two markets in view of the market-wide effect from random matrix theory and eigenvalue analysis. We found that the largest eigenvalue of the credit market as a whole preceded that of the stock market in the beginning of the financial crisis and that of two markets tended to be synchronized after the crisis. The correlation between the companies of both markets became considerably stronger after the crisis as well.

Keywords: Random matrix theory; Credit default swap; Network topology (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:407:y:2014:i:c:p:66-75

DOI: 10.1016/j.physa.2014.03.080

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