The Spread of the Credit Crisis: View from a Stock Correlation Network

Reginald D. Smith

Papers from arXiv.org

Abstract: The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade or epidemic flow like model along the correlations of various stocks. This phenomenon will be shown by the graphical display of stock returns across the network as well as the dependence of stock returns on topological measures. Finally, whether the idea of "epidemic" or a "cascade" is a metaphor or model for this crisis will be discussed.

Date: 2009-01, Revised 2009-06
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Citations: View citations in EconPapers (6)

Published in J Korean Phys. Soc. 54, 6, p. 2460-2463 (2009)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0901.1392

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