  We perform a comparative analysis of the Chinese stock market around the
occurrence of the 2008 crisis based on the random matrix analysis of
high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen
stock exchanges. Both raw correlation matrix and partial correlation matrix
with respect to the market index in two time periods of one year are
investigated. We find that the Chinese stocks have stronger average correlation
and partial correlation in 2008 than in 2007 and the average partial
correlation is significantly weaker than the average correlation in each
period. Accordingly, the largest eigenvalue of the correlation matrix is
remarkably greater than that of the partial correlation matrix in each period.
Moreover, each largest eigenvalue and its eigenvector reflect an evident market
effect, while other deviating eigenvalues do not. We find no evidence that
deviating eigenvalues contain industrial sectorial information. Surprisingly,
the eigenvectors of the second largest eigenvalues in 2007 and of the third
largest eigenvalues in 2008 are able to distinguish the stocks from the two
exchanges. We also find that the component magnitudes of the some largest
eigenvectors are proportional to the stocks' capitalizations.
