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. 2012 Feb 8;7(2):e31144. doi: 10.1371/journal.pone.0031144

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Kenett et al.

This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited.

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For each market, we use a 22-day window, and in each window calculate the intra-correlation. This results in the dynamics of the intra-correlation for the period of 2000–2010, for each market separately. Each horizontal line represents the average correlation of one stock (the left y-axis displays the number of the stock). The western markets and Japan show a similar behavior, visualized through vertical stripes at the same time, showing synchronized waves of strong correlations. The black line shows the average of all correlations at a given 22-day window (corresponding to the right y-axis). The trend is increasing for all countries except for China.