Cross-correlation matrix analysis of Chinese and American bank stocks in subprime crisis  

作　　者：朱世钊 李信利 聂森 张文轻 余高峰 韩筱璞 汪秉宏 

机构地区：[1]School of Business, University of Shanghai for Science and Technology [2]Department of Modern Physics, University of Science and Technology of China [3]School of Foreign Language, University of Shanghai for Science and Technology [4]Institute of Information Economy and Alibaba Business College, Hangzhou Normal University

出　　处：《Chinese Physics B》2015年第5期634-638,共5页中国物理B（英文版）

基　　金：supported by the National Natural Science Foundation of China(Grant Nos.11275186,91024026,and FOM2014OF001);the University of Shanghai for Science and Technology(USST)of Humanities and Social Sciences,China(Grant Nos.USST13XSZ05 and 11YJA790231)

摘　　要：In order to study the universality of the interactions among different markets, we analyze the cross-correlation matrix of the price of the Chinese and American bank stocks. We then find that the stock prices of the emerging market are more correlated than that of the developed market. Considering that the values of the components for the eigenvector may be positive or negative, we analyze the differences between two markets in combination with the endogenous and exogenous events which influence the financial markets. We find that the sparse pattern of components of eigenvectors out of the threshold value has no change in American bank stocks before and after the subprime crisis. However, it changes from sparse to dense for Chinese bank stocks. By using the threshold value to exclude the external factors, we simulate the interactions in financial markets.In order to study the universality of the interactions among different markets, we analyze the cross-correlation matrix of the price of the Chinese and American bank stocks. We then find that the stock prices of the emerging market are more correlated than that of the developed market. Considering that the values of the components for the eigenvector may be positive or negative, we analyze the differences between two markets in combination with the endogenous and exogenous events which influence the financial markets. We find that the sparse pattern of components of eigenvectors out of the threshold value has no change in American bank stocks before and after the subprime crisis. However, it changes from sparse to dense for Chinese bank stocks. By using the threshold value to exclude the external factors, we simulate the interactions in financial markets.

关 键 词：EIGENVECTOR stock price subprime crisis cross-correlation matrix 

分 类 号：O151.21[理学—数学] F832.33[理学—基础数学]