Phase transition in the S&P stock market

We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order parameter which can be interpreted within an agent model. From 1995 to 2005 the market is in an ordered state and after 2005 in a disordered state. We show that the influence of stocks on the market is changing and that this influence can be explained by trading volume and the stocks' beta.

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Year of publication:	2013
Authors:	Raddant, Matthias ; Wagner, Friedrich
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	stock price correlations \| CAPM \| S&P500

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Series:	Kiel Working Paper ; 1846
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	751154717 [GVK] hdl:10419/76721 [Handle] RePEc:zbw:ifwkwp:1846 [RePEc]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316032