Statistical properties of cross-correlation in the Korean stock market
Statistical properties of cross-correlation in the Korean stock market
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DOI：
10.1140/epjb/e2010-90492-x
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发表时间：
2010-10
期刊：
影响因子：
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通讯作者：
Gabjin Oh;Cheoljun Eom;Fengzhong Wang;Woo-Sung Jung;H. Stanley;Seunghwan Kim
中科院分区：
文献类型：
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作者：
Gabjin Oh;Cheoljun Eom;Fengzhong Wang;Woo-Sung Jung;H. Stanley;Seunghwan Kim
我们调查的统计特性的个股之间的互相关矩阵在韩国股市交易的随机矩阵理论（RMT），并观察这些如何影响的Markowitz投资组合理论的投资组合权重。我们发现互相关矩阵的分布是正偏态的，并随时间而变化。我们发现原始互相关矩阵的特征值分布偏离了RMT预测的特征值，并且最大特征值是RMT预测的特征值中最大值的52倍。反映最大特征值特性的系数为0.8，而RMT中的一个特征值近似为零。值得注意的是，我们发现，原始和过滤后的互相关矩阵的熵函数与投资组合风险σ是一致的幂律函数，E（σ）~，其指数γ~ 2.92和亚洲货币危机的显着降低。
We investigate the statistical properties of the cross-correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the cross-correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original cross-correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. Thecoefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy functionwith the portfolio riskσfor the original and filtered cross-correlation matrices are consistent with a power-law function,E(σ) ~, with the exponentγ~ 2.92 and those for Asian currency crisis decreases significantly.