Analysis of Collective Behavior of Iran Banking Sector by Random Matrix Theory
Publish place: Iranian Journal of Finance، Vol: 3، Issue: 4
Publish Year: 1398
Type: Journal paper
Language: English
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Document National Code:
JR_IJFIFSA-3-4_003
Index date: 13 April 2022
Analysis of Collective Behavior of Iran Banking Sector by Random Matrix Theory abstract
Banked based financial sector of Iran leads us to focus on the banking industry and its components. One of the important aspects of this industry is its coupling structure. In this paper, we have analyzed the collective behavior of Iran banking sector by Random Matrix Approach (RMT). This technique is useful for splitting the information part of the correlation matrix from the random region. This research confirms good compliance with random matrix predictions. By removing the market mode of the system the average of the banking cross-correlation matrix changes. Then, by calculation of the participation ratio, node participation ratio and relative participation ratios of these banks, it is shown that the collective behavior of the system is so fragile. Also, by applying local and global perturbations on the banking sector, it is shown that this system is very sensitive to the global perturbation and the mean value of cross-correlations decreases rapidly that means some banks have crucial effects in the market.
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Analysis of Collective Behavior of Iran Banking Sector by Random Matrix Theory authors
Reza Raei
Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
Ali Namaki
Assistant Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
Hanie Vahabi
MSc., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
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