SPECTRAL ANALYSIS AND NETWORKS IN FINANCIAL CORRELATION MATRICES, ANALISIS ESPECTRAL Y REDES EN MATRICES DE CORRELACION FINANCIERA

Linda Margarita Medina Herrera and Ernesto Armando Pacheco Velazquez

Revista Internacional Administracion & Finanzas, 2013, vol. 6, issue 6, 15-28

Abstract: This paper uses the theory of random matrices and minimal spanning trees to analyze the correlation matrix C of returns of the top 35 stocks traded on the Mexican Stock Market. The results show the spectrum of the matrix C has a random band structure. The eigenvector components outside this band show significant similarities to the topological measures of the minimum spanning tree. The telecommunications company AMX is the central vertex of the tree and the main component of the largest eigenvector. The tree measures support the conclusion that only two clusters are formed by economic sectors: construction & telecommunications, which have a great influence on other stocks.

Keywords: Random Matrix Theory; Stock Market Network; Econophysics; Minimum Spanning Tree (search for similar items in EconPapers)
JEL-codes: C02 C16 C22 C38 C45 C61 C65 C8 D85 G11 (search for similar items in EconPapers)
Date: 2013
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