The analysis of cross-correlation between Istanbul Stock Exchange and major stock markets and indices: An empirical analysis using Random Matrix Theory

摘要

This study attempts to investigate the cross-correlation between stocks listed underthe XU100 index of Borsa Istanbul with several ratios and indices of the stock marketsworldwide by using the Random Matrix Theory approach through a correlation matrix.In addition, Eigenvector Analysis, Network Analysis, Dimension Reduction will be carriedout to investigate cross-correlation between markets. It was found that XU100,which isanindex that includes100stocks highest in volume, has a distinguishingbehaviorcompared to other indices and rates in terms of eigenvalue and related eigenvectorstructures. Furthermore, mean-value portfolio analysis showed that the empirical correlationmatrix underestimates the portfolio risks than the correlation matrix obtainedby filtering the noise. Coronavirus pandemic also affected Borsa Istanbul by breakingperiodic behavior of volatility and correlation cycle.