1 research outputs found
Correlation of financial markets in times of crisis
Using the eigenvalues and eigenvectors of correlations matrices of some of
the main financial market indices in the world, we show that high volatility of
markets is directly linked with strong correlations between them. This means
that markets tend to behave as one during great crashes. In order to do so, we
investigate several financial market crises that occurred in the years 1987
(Black Monday), 1989 (Russian crisis), 2001 (Burst of the dot-com bubble and
September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the
largest downturns of financial markets in the last three decades.Comment: 33 pages, 46 figure