earticle

영어

We conducted an empirical investigation regarding the correlation between stocks. Specifically, we use methods of random matrix theory (RMT), which originated from the need to understand the interactions between the constituent elements of complex interacting systems, to analyze the correlation matrix C of returns. To analyze correlation between stocks, we used data from Shanghai Stock Exchange (SSE) and Standard and Poor’s 500 (S&P 500). These data are grouped according to sector. The analysis is conducted by using MATLAB. Firstly, we compute a price matrix; return matrix and correlation matrix using time series. Next, we tried to obtain the eigenvalues and eigenvectors. Then, we plotted the graph of p( ) i.e. density of eigenvalues of correlation matrix. From the graph, we discover some important information such as the correlation between stocks.