Analysis of the Chinese stock market correlations in high frequency data

Author

Xuelian, Sun

Author_Institution

Sch. of Manage., Tianjin Univ., Tianjin, China

Volume

1

fYear

2011

Firstpage

211

Lastpage

215

Abstract

This paper analyzes the correlation structure for various time window intervals using high frequency data of 230 actively traded stocks in Chinese stock market. It is found that the number of nonrandom eigenvalues is more than the developed markets´ through the random matrix theory (RMT) analysis. It is also found that the eigenvector components corresponding to the largest eigenvalue cannot be regarded as describing a broad `index´ composed of all the stocks as usual. And the analysis of inverse participation ratio (IPR) also proved the above conclusion. Its IPR values are in noise level in the high frequency region.

Keywords

correlation methods; eigenvalues and eigenfunctions; matrix algebra; stock markets; Chinese stock market correlations; RMT analysis; correlation structure; eigenvector components; high frequency data; inverse participation ratio; nonrandom eigenvalues; random matrix theory; Correlation; Eigenvalues and eigenfunctions; Histograms; Indexes; Intellectual property; Probability density function; Stock markets; correlation; eigenvalue; eigenvector; random matrix theory;

fLanguage

English

Publisher

ieee

Conference_Titel

IT in Medicine and Education (ITME), 2011 International Symposium on

Print_ISBN

978-1-61284-701-6

Type

conf

DOI

10.1109/ITiME.2011.6130818

Filename

6130818