Statistical Properties Of Cross-Correlation In The Korean Stock Market

The authors investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the Random Matrix Theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. They find that the distribution of the correlation matrix is positively skewed and changes over time. They find that the eigenvalue distribution of original correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT.

Provided by: Pohang University of Science And Technology Topic: Mobility Date Added: Oct 2010 Format: PDF

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