We examine volatility of an Indian stock market in terms of aspects likeparticipation, synchronization of stocks and quantification of volatility usingthe random matrix approach. Volatility pattern of the market is found using theBSE index for the three-year period 2000-2002. Random matrix analysis iscarried out using daily returns of 70 stocks for several time windows of 85days in 2001 to (i) do a brief comparative analysis with statistics ofeigenvalues and eigenvectors of the matrix C of correlations between pricefluctuations, in time regimes of different volatilities. While a bulk ofeigenvalues falls within RMT bounds in all the time periods, we see that thelargest (deviating) eigenvalue correlates well with the volatility of theindex, the corresponding eigenvector clearly shows a shift in the distributionof its components from volatile to less volatile periods and verifies thequalitative association between participation and volatility (ii) observe thatthe Inverse participation ratio for the 'last' eigenvector is sensitive tomarket fluctuations (the two quantities are observed to anti correlatesignificantly) (iii) set up a variability index, V whose temporal evolution isfound to be significantly correlated with the volatility of the overall marketindex.
展开▼
