Abstract
We study 115 stocks from the Thai Stock Market (SET) from 2006 to 2015. The evolution of correlations between stocks is estimated for different periods of world major financial events and the effect of these global financial events on the Thai stock market is studied. A spectral analysis of the correlation matrix based on random matrix theory is done. The evolution and dynamics of threshold networks derived from the correlation matrix are studied. The entropic measure on the eigenvector gives the information contained in each eigenvector which shows that eigenvector on lower side of spectrum are highly localized as compared to higher side of spectrum. The evolution of various topological properties of network are investigated. Thai stock market is found to be less robust during the global financial crisis.
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