Statistical properties of the stock and credit market: RMT and network topology

• We analyze the correlation structure of stock and hazard rate before and after the crisis.
• We examine trends of the largest eigenvalue in the stock and credit market.
• Correlation between companies of stock and credit market becomes stronger after the crisis.
• Market-wide effect in stock and credit market becomes more dominant after the crisis.

We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology. The dynamics of both markets have been spotlighted throughout the subprime crisis. In this study, we compared these two markets in view of the market-wide effect from random matrix theory and eigenvalue analysis. We found that the largest eigenvalue of the credit market as a whole preceded that of the stock market in the beginning of the financial crisis and that of two markets tended to be synchronized after the crisis. The correlation between the companies of both markets became considerably stronger after the crisis as well.