标题： 市场相关性结构在大崩溃期间的变化 显示英文标题

标题： Market correlation structure changes around the Great Crash

摘要： 我们基于上海和深圳证券交易所上市的1228只股票的高频收益率的随机矩阵分析，对2008年危机发生时的中国股市进行了比较分析。 在一年时间跨度的两个时期内，研究了原始相关矩阵和相对于市场指数的部分相关矩阵。 我们发现，2008年的中国股票具有比2007年更强的平均相关性和部分相关性，并且在每个时期，平均部分相关性明显弱于平均相关性。 因此，在每个时期，相关矩阵的最大特征值显著大于部分相关矩阵的最大特征值。 此外，每个最大特征值及其特征向量反映了明显的市场效应，而其他偏离的特征值则没有。 我们没有发现偏离特征值包含行业部门信息的证据。 令人惊讶的是，2007年第二大的特征值的特征向量和2008年第三大的特征值的特征向量能够区分来自两个交易所的股票。 我们还发现，一些最大特征向量的成分大小与股票的市值成比例。 显示英文摘要

摘要： We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges. Both raw correlation matrix and partial correlation matrix with respect to the market index in two time periods of one year are investigated. We find that the Chinese stocks have stronger average correlation and partial correlation in 2008 than in 2007 and the average partial correlation is significantly weaker than the average correlation in each period. Accordingly, the largest eigenvalue of the correlation matrix is remarkably greater than that of the partial correlation matrix in each period. Moreover, each largest eigenvalue and its eigenvector reflect an evident market effect, while other deviating eigenvalues do not. We find no evidence that deviating eigenvalues contain industrial sectorial information. Surprisingly, the eigenvectors of the second largest eigenvalues in 2007 and of the third largest eigenvalues in 2008 are able to distinguish the stocks from the two exchanges. We also find that the component magnitudes of the some largest eigenvectors are proportional to the stocks' capitalizations.