کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7378130 | 1480123 | 2016 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
State and group dynamics of world stock market by principal component analysis
ترجمه فارسی عنوان
دینامیک دولتی و گروهی بازار سهام جهانی با تحلیل مولفه های اصلی
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کلمات کلیدی
تجزیه و تحلیل مولفه اصلی، بازار سهام، بحران مالی جهانی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
We study the dynamic interactions and structural changes by a principal component analysis (PCA) to cross-correlation coefficients of global financial indices in the years 1998-2012. The variances explained by the first PC increase with time and show a drastic change during the crisis. A sharp change in PC coefficient implies a transition of market state, a situation which occurs frequently in the American and Asian indices. However, the European indices remain stable over time. Using the first two PC coefficients, we identify indices that are similar and more strongly correlated than the others. We observe that the European indices form a robust group over the observation period. The dynamics of the individual indices within the group increase in similarity with time, and the dynamics of indices are more similar during the crises. Furthermore, the group formation of indices changes position in two-dimensional spaces due to crises. Finally, after a financial crisis, the difference of PCs between the European and American indices narrows.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 450, 15 May 2016, Pages 85-94
Journal: Physica A: Statistical Mechanics and its Applications - Volume 450, 15 May 2016, Pages 85-94
نویسندگان
Ashadun Nobi, Jae Woo Lee,