中国物理B ›› 2015, Vol. 24 ›› Issue (5): 58903-058903.doi: 10.1088/1674-1056/24/5/058903

• INTERDISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY • 上一篇    下一篇

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

朱世钊a, 李信利a, 聂森b, 张文轻a, 余高峰c, 韩筱璞d, 汪秉宏a b   

  1. a School of Business, University of Shanghai for Science and Technology, Shanghai 200093, China;
    b Department of Modern Physics, University of Science and Technology of China, Hefei 230026, China;
    c School of Foreign Language, University of Shanghai for Science and Technology, Shanghai 200093, China;
    d Institute of Information Economy and Alibaba Business College, Hangzhou Normal University, Hangzhou 310036, China
  • 收稿日期:2014-05-10 修回日期:2015-01-18 出版日期:2015-05-05 发布日期:2015-05-05
  • 基金资助:
    Project supported by the National Natural Science Foundation of China (Grant Nos. 11275186, 91024026, and FOM2014OF001) and the University of Shanghai for Science and Technology (USST) of Humanities and Social Sciences, China (Grant Nos. USST13XSZ05 and 11YJA790231).

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

Zhu Shi-Zhao (朱世钊)a, Li Xin-Li (李信利)a, Nie Sen (聂森)b, Zhang Wen-Qing (张文轻)a, Yu Gao-Feng (余高峰)c, Han Xiao-Pu (韩筱璞)d, Wang Bing-Hong (汪秉宏)a b   

  1. a School of Business, University of Shanghai for Science and Technology, Shanghai 200093, China;
    b Department of Modern Physics, University of Science and Technology of China, Hefei 230026, China;
    c School of Foreign Language, University of Shanghai for Science and Technology, Shanghai 200093, China;
    d Institute of Information Economy and Alibaba Business College, Hangzhou Normal University, Hangzhou 310036, China
  • Received:2014-05-10 Revised:2015-01-18 Online:2015-05-05 Published:2015-05-05
  • Contact: Nie Sen, Wang Bing-Hong E-mail:niesen@mail.ustc.edu.cn;bhwang@ustc.edu.cn
  • About author:89.65.Gh; 89.75.-k
  • Supported by:
    Project supported by the National Natural Science Foundation of China (Grant Nos. 11275186, 91024026, and FOM2014OF001) and the University of Shanghai for Science and Technology (USST) of Humanities and Social Sciences, China (Grant Nos. USST13XSZ05 and 11YJA790231).

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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.

关键词: eigenvector, stock price, subprime crisis, cross-correlation matrix

Abstract: 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.

Key words: eigenvector, stock price, subprime crisis, cross-correlation matrix

中图分类号:  (Economics; econophysics, financial markets, business and management)

  • 89.65.Gh
89.75.-k (Complex systems)