A Study On The Establishment Of Stock Markets' Network And The Co-movement Among Stock Markets Based On RMT And PMFG

With the development of globalization, the worldwide financial markets become closer and closer in these years. The US's sub prime crisis rapidly detonated a global financial crisis and the Greek debt crisis promptly transmitted into European debt crisis proof that the economy of nations are not developed desolately, they are interplay. Stock market is regarded as the "barometer" to reflect the condition of economy of a nation. He can not only capture the change in economy, but also works on the fluctuation of other stock markets. Especially, with the openness of emerging stock markets, the comovement between emerging stock markets and developed stock markets strengthen.Considering the comovement among stock markets are flexibility and complexity, this paper constructs a network of correlation coefficients of 36 stock markets around the world by combing the random matrix theory (RMT) and the complex network theory. First, we conclude and tease up the corresponding previous studies. From these papers, we observe that the study on the comovement among stock markets is still a dilemma without effective sulutions, thus, we theoretically analyze the methodology which we intend to apply in solving the problem in correlation coefficient of stock markets. Next, we build stock markets' network by planar maximally filtered graph (PMFG) to portray the dynamic comovement among stock markets. Finally, we collect the data of samples and obtain several effective conclusions by empirical study. We state that,1) the stock markets' network is a small world network; 2) the stock markets' network can be divided into six communities. The MICEX, N225, GDAT, SET, TWII, KLSE are the hub node separated in the six communities, which are the most vulnerable to be attacked in the community; 3) the FCHI, the NYSE, the BFX and the FTSE are the top four of the Influence strengthen.In a shell nut, with the globalization, the stock markets are interplay around the world. The study on dynamic comovement among worldwide stock markets is not avail to the risk management in risk contagion among stock markets, but it also benefits for investors in the stocks portfolio among stock markets.