The analysis of cross‐correlation between Istanbul Stock Exchange and major stock markets and indices: An empirical analysis using Random Matrix Theory

Tastan, Birhan; İMAMOĞLU, Hatice

doi:10.1002/cpe.7113

Cited by 3 publications

(2 citation statements)

References 36 publications

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“…In another study, the world stock market is analyzed with RMT [22]. Recent works also investigated various financial markets using RMT [23][24][25].…”

Section: Applying Rmt Approaches In Financial Marketsmentioning

confidence: 99%

Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT

Tang,

Xiong,

Cheng

et al. 2023

Entropy

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This research systematically analyzes the behaviors of correlations among stock prices and the eigenvalues for correlation matrices by utilizing random matrix theory (RMT) for Chinese and US stock markets. Results suggest that most eigenvalues of both markets fall within the predicted distribution intervals by RMT, whereas some larger eigenvalues fall beyond the noises and carry market information. The largest eigenvalue represents the market and is a good indicator for averaged correlations. Further, the average largest eigenvalue shows similar movement with the index for both markets. The analysis demonstrates the fraction of eigenvalues falling beyond the predicted interval, pinpointing major market switching points. It has identified that the average of eigenvector components corresponds to the largest eigenvalue switch with the market itself. The investigation on the second largest eigenvalue and its eigenvector suggests that the Chinese market is dominated by four industries whereas the US market contains three leading industries. The study later investigates how it changes before and after a market crash, revealing that the two markets behave differently, and a major market structure change is observed in the Chinese market but not in the US market. The results shed new light on mining hidden information from stock market data.

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“…In another study, the world stock market is analyzed with RMT [22]. Recent works also investigated various financial markets using RMT [23][24][25].…”

Section: Applying Rmt Approaches In Financial Marketsmentioning

confidence: 99%

Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT

Tang,

Xiong,

Cheng

et al. 2023

Entropy

View full text Add to dashboard Cite

show abstract

“…Kumar et al analyzed daily prices of 42 stocks listed in the Nifty50 index of the National Stock Exchange of India from 2006 to 2019 and they found that global and local extreme events afected the correlations among the Nifty50 stocks of the Indian stock market [25]. Tas ¸tan and Imamoglu attempted to investigate the crosscorrelation between stocks listed under the XU100 index of Borsa Istanbul with several ratios and indices of the stock markets worldwide by using the random matrix theory approach through a correlation matrix, and it was found that XU100 has a distinguishing behavior compared to other indices and rates in terms of eigenvalue and related eigenvector structures [26].…”

Section: Introductionmentioning

confidence: 99%

Research on Chinese Stock Market during COVID-19—Based on Random Matrix Theory

Fang

2023

Complexity

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This paper focuses on the three industries that are greatly impacted by COVID-19, including the consumption industry, the pharmaceutical industry, and the financial industry. The daily returns of 98 stocks in the consumption industry, the pharmaceutical industry, and the financial industry in the 100 trading days from January 2, 2020, to June 3, 2020, are selected. Based on the random matrix theory, it first analyzes whether the stock market conforms to the efficient market hypothesis during the epidemic period, and second it further studies the linkage between the three industries. The results show that (1) the correlation coefficient is approximately a normal distribution, but the mean value is greater than 0, which is greater than that of the more mature markets such as the United States. (2) There are three eigenvalues greater than the prediction value, of which the maximum eigenvalue is about 11.18 times larger than the largest eigenvalue of the RMT. (3) There is a significant positive relationship between the maximum eigenvalue and the correlation coefficient. The specific market performance is that the stock price fluctuations show a high degree of consistency. (4) In the sample interval, the financial industry has a restraining effect on the consumption industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the consumption industry in the short term. The consumption industry has a promoting effect on the financial industry in the short term, and the pharmaceutical industry has a promoting and then restraining effect on the financial industry in the short term. The consumption industry has a promoting and then restraining effect on the pharmaceutical industry in the short term, and the financial industry has a promoting and then restraining effect on the pharmaceutical industry in the short term. (5) In the sample interval, the consumption industry is mainly affected by itself, while the role of the pharmaceutical industry and the financial industry is very small. The pharmaceutical industry is mainly affected by itself and the consumption industry, while the role of the financial industry is very small. The financial industry is mainly affected by itself and the consumption industry, while the role of the pharmaceutical industry is very small. This situation has consequences for individual investors and institutional investors, since some stock returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency. The research on the correlation between asset returns will help to accurately price assets and avoid losses caused by price fluctuations during the epidemic.

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The American spirit: The performativity of folk economics in global financial markets

2023

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Inspired by Austin's conceptualisation of utterances as performative, that is, they do things rather than merely represent, research has shown how scientific theories can become performative in financial markets. Research also shows that brokerage and investment work is as much about using everyday knowledge of markets as it is about performing scientific theories. We investigate whether and how this knowledge or what Swedberg calls ‘folk economics’ can also be performative. We focus on Borsa Istanbul, an emerging market where market actors perform what we call ‘the American Spirit’ – a ubiquitous folk theory that frames and plots the Turkish market as one that moves in tandem with American and other developed markets – and in the process become better market forecasters. Our findings have implications for the study of folk economics and performativity in global economy and finance.

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The analysis of cross‐correlation between Istanbul Stock Exchange and major stock markets and indices: An empirical analysis using Random Matrix Theory

Cited by 3 publications

References 36 publications

Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT

Looking into the Market Behaviors through the Lens of Correlations and Eigenvalues: An Investigation on the Chinese and US Markets Using RMT

Research on Chinese Stock Market during COVID-19—Based on Random Matrix Theory

The American spirit: The performativity of folk economics in global financial markets

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