2011
DOI: 10.1103/physreve.84.026108
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Evolution of worldwide stock markets, correlation structure, and correlation-based graphs

Abstract: We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 -Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short ter… Show more

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Cited by 218 publications
(118 citation statements)
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“…Financial markets are presently in the focus, because they demonstrated their non-stationarity in a rather drastic way during the recent years. To assess a financial market as a whole, the correlations between the prices of the individual stocks are of crucial importance [7][8][9][10]. They fluctuate considerably in time, e.g., because the market expectations of the traders change, the business relations between the companies change, particularly in a state of crisis, and so on.…”
mentioning
confidence: 99%
“…Financial markets are presently in the focus, because they demonstrated their non-stationarity in a rather drastic way during the recent years. To assess a financial market as a whole, the correlations between the prices of the individual stocks are of crucial importance [7][8][9][10]. They fluctuate considerably in time, e.g., because the market expectations of the traders change, the business relations between the companies change, particularly in a state of crisis, and so on.…”
mentioning
confidence: 99%
“…In this way we can investigate the fast dynamics of the correlation matrix by ensuring that all the eigenvalues of the matrix remain positive [21]. A similar analysis was performed in the recent investigation of 57 indices of stock markets located all over the world [12].…”
Section: Data and Time Scalesmentioning
confidence: 99%
“…Specifically, we consider the time evolution of the degree of each vertex, the time evolution of the vertex betweenness [25] and the time evolution of the link mutual information as defined in Ref. [12]. In Fig.…”
Section: Dynamics Of the Pmfgsmentioning
confidence: 99%
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