US股票市场行业指数相关性结构的演化
Evolution of correlation structure of industrial indices of US equity markets
摘要：
通过研究基于相关性的网络和相关矩阵的谱特性，我们研究了在美国市场交易的美国股票行业指数对之间的相关性的动态。本文利用K. French和E.从1969年7月到2011年12月，这段时间跨越了40多年。我们发现，行业指数之间的相关性呈现出快速和缓慢的动态。这种缓慢的动态有一个超过五年的时间尺度，表明在不同的时期，投资的多样化程度可能不同。在这个缓慢的动态，我们还检测到一个快速的动态与外源性或内源性事件。我们使用的快速时间尺度是每月时间尺度，评估时间段是3个月时间段。通过调查每月的相关动态，我们能够检测到两个例子的快速变化的相关矩阵的第一和第二特征值。第一次发生在互联网泡沫期间（1999年3月至2001年4月），第二次发生在次贷危机影响最严重的时期（2008年8月至2009年8月）。
英文摘要：
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow dynamics. The slow dynamics has a time scale longer than five years showing that a different degree of diversification of the investment is possible in different periods of time. On top to this slow dynamics, we also detect a fast dynamics associated with exogenous or endogenous events. The fast time scale we use is a monthly time scale and the evaluation time period is a 3 month time period. By investigating the correlation dynamics monthly, we are able to detect two examples of fast variations in the first and second eigenvalue of the correlation matrix. The first occurs during the dot-com bubble (from March 1999 to April 2001) and the second occurs during the period of highest impact of the subprime crisis (from August 2008 to August 2009).
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