Research on Chinese Stock Market during COVID-19—Based on Random Matrix Theory

Table 2

Comparison of the eigenvalues of the empirical correlation matrix, random correlation matrix, and prediction.

	Empirical correlation matrix	Random correlation matrix	RMT prediction
N	100	100	100
L	98	98	98
Q	1.0204	1.0204	1.020
Min-eigen	2.0664e − 04	1.9001e − 04	1.0101e − 04
Max-eigen	40.0301	3.5806	3.9599