dorsal/arxiv
View SchemaVolatility of an Indian stock market : A random matrix approach
| Authors | V. Kulkarni, N. Deo |
|---|---|
| Categories | |
| ArXiv ID | physics/0512169 |
| URL | https://arxiv.org/abs/physics/0512169 |
Abstract
We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the 'last' eigenvector is sensitive to market fluctuations (the two quantities are observed to anti correlate significantly) (iii) set up a variability index, V whose temporal evolution is found to be significantly correlated with the volatility of the overall market index.
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"abstract": "We examine volatility of an Indian stock market in terms of aspects like\nparticipation, synchronization of stocks and quantification of volatility using\nthe random matrix approach. Volatility pattern of the market is found using the\nBSE index for the three-year period 2000-2002. Random matrix analysis is\ncarried out using daily returns of 70 stocks for several time windows of 85\ndays in 2001 to (i) do a brief comparative analysis with statistics of\neigenvalues and eigenvectors of the matrix C of correlations between price\nfluctuations, in time regimes of different volatilities. While a bulk of\neigenvalues falls within RMT bounds in all the time periods, we see that the\nlargest (deviating) eigenvalue correlates well with the volatility of the\nindex, the corresponding eigenvector clearly shows a shift in the distribution\nof its components from volatile to less volatile periods and verifies the\nqualitative association between participation and volatility (ii) observe that\nthe Inverse participation ratio for the \u0027last\u0027 eigenvector is sensitive to\nmarket fluctuations (the two quantities are observed to anti correlate\nsignificantly) (iii) set up a variability index, V whose temporal evolution is\nfound to be significantly correlated with the volatility of the overall market\nindex.",
"arxiv_id": "physics/0512169",
"authors": [
"V. Kulkarni",
"N. Deo"
],
"categories": [
"physics.soc-ph",
"cond-mat.stat-mech",
"q-fin.ST"
],
"title": "Volatility of an Indian stock market : A random matrix approach",
"url": "https://arxiv.org/abs/physics/0512169"
},
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