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Jimenez-Martin, AntonioAuthorMateos-Caballero, AlfonsoAuthor

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February 2, 2025
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Correlation Structure of the Spanish Stock Market Around COVID-19 Using Random Matrix Theory

Publicated to: Computational Economics. 66 (6): 4543-4558 - 2025-12-01 66(6), DOI: 10.1007/s10614-024-10820-0

Authors:

Dominguez-Monterroza, Andy; Jimenez-Martin, Antonio; Mateos-Caballero, Alfonso
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Affiliations

Univ Politecn Madrid, Dept Inteligencia Artificial, Grp Anal Decis & Estadist, Madrid, Spain - Author
Univ Tecnol Bolivar, Fac Ciencias Basicas, Cartagena De Indias, Colombia - Author

Abstract

In this work we analyze the correlation structure of the Spanish stock market around COVID-19 using random matrix theory (RMT). The results reveal that the empirical spectral distribution of eigenvalues associated with correlation matrices of prices for major companies listed on IBEX35 and IBEXC differs across the analyzed periods. In all cases, it deviates from the theoretical spectral distribution predicted by RMT through the Marchenko-Pastur law. In particular, during the COVID-19 crisis, the maximum eigenvalue exceeds the maximum eigenvalue in different periods before and after the pandemic, effectively capturing the state or mode of the market under crisis conditions. The second-largest eigenvalue facilitates the identification of groups among stocks associated with its corresponding eigenvector. These findings hold potential for developing strategies to assess systemic risk in the Spanish stock market.
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Keywords

CorrelationRandom matrix theorySpanish stock markeSpanish stock market

Quality index

Bibliometric impact. Analysis of the contribution and dissemination channel

The work has been published in the journal Computational Economics due to its progression and the good impact it has achieved in recent years, according to the agency WoS (JCR), it has become a reference in its field. In the year of publication of the work, 2025, it was in position 189/620, thus managing to position itself as a Q2 (Segundo Cuartil), in the category Economics. Notably, the journal is positioned en el Cuartil Q2 para la agencia Scopus (SJR) en la categoría Economics, Econometrics and Finance (Miscellaneous).

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Impact and social visibility

It is essential to present evidence supporting full alignment with institutional principles and guidelines on Open Science and the Conservation and Dissemination of Intellectual Heritage. A clear example of this is:

  • Assignment of a Handle/URN as an identifier within the deposit in the Institutional Repository: https://oa.upm.es/93018/

As a result of the publication of the work in the institutional repository, statistical usage data has been obtained that reflects its impact. In terms of dissemination, we can state that, as of

  • Views: 26
  • Downloads: 18
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Leadership analysis of institutional authors

This work has been carried out with international collaboration, specifically with researchers from: Colombia; India.

There is a significant leadership presence as some of the institution’s authors appear as the first or last signer, detailed as follows: Last Author (MATEOS CABALLERO, ALFONSO).

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Project objectives

El presente estudio tiene como objetivos analizar la estructura de correlación del mercado bursátil español en torno a la pandemia de COVID-19 utilizando la teoría de matrices aleatorias (RMT); evaluar las diferencias en la distribución espectral empírica de los valores propios de las matrices de correlación de precios de las principales empresas del IBEX35 y IBEXC en distintos periodos; determinar la desviación de dicha distribución respecto a la distribución espectral teórica predicha por la ley de Marchenko-Pastur; caracterizar el comportamiento del valor propio máximo durante la crisis COVID-19 en comparación con periodos previos y posteriores; e identificar grupos de acciones mediante el análisis del segundo valor propio más grande y su vector propio asociado, con vistas a desarrollar estrategias para evaluar el riesgo sistémico en el mercado español.
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Most relevant results

El estudio analiza la estructura de correlación del mercado bursátil español alrededor del COVID-19 mediante la teoría de matrices aleatorias. Los resultados más relevantes son: la distribución espectral empírica de los valores propios de las matrices de correlación difiere en los períodos analizados y se desvía de la distribución teórica predicha por la ley de Marchenko-Pastur; durante la crisis del COVID-19, el valor propio máximo supera al de los períodos previos y posteriores, reflejando el estado del mercado en crisis; el segundo valor propio más grande permite identificar grupos de acciones asociados a su vector propio correspondiente; estos hallazgos ofrecen herramientas para evaluar el riesgo sistémico en el mercado español.
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Awards linked to the item

This paper was supported by the Grants PID2021-122209OB-C31 and RED2022-134540-T funded by MICIU/AEI/10.13039/501100011033.
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