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

Table 3

Comparison of eigenvalue entropies between an empirical correlation matrix and a random matrix under different conditions.

	Empirical matrix	Random matrix
Eigenvalue entropy with the max-eigenvalue	0.0392	0.7592
Eigenvalue entropy without the max-eigenvalue	0.2459	0.7444
Eigenvalue entropy without three large eigenvalues	0.3754	0.7255