Kiel Working Papers, Kiel Institute for World Economics
No 1846:
Phase Transition in the S&P Stock Market
Matthias Raddant and Friedrich Wagner
Abstract: 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
Keywords: stock price correlations, CAPM, S&P 500; (follow links to similar papers)
JEL-Codes: G11,; G12; (follow links to similar papers)
22 pages, June 2013
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