Comparing the structure of an emerging market with a mature one under global perturbation

► The mean value of correlation coefficients and the largest eigenvalue are good criteria for investigating correlation matrix stability. ► We investigated the correlation matrix stability of emerging and mature markets by the distribution mean value of correlation coefficients and RMT. ► We found there is good agreement between the results of RMT and the distribution of correlation coefficients under global perturbations. ► A comparison of two markets shows that the DJIA is more sensitive to perturbations than the TSE.