کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977034 | 933168 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An analysis of cross-correlations in an emerging market
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg stock exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C against random matrix predictions and find some agreement between the distributions of eigenvalues, nearest neighbour spacings, distributions of eigenvector components and the inverse participation ratios for eigenvectors. We show that interpolating both missing data and illiquid trading days with a zero-order hold increases agreement with RMT predictions. For the more realistic estimation of correlations in an emerging market, we suggest a pairwise measured-data correlation matrix. For the data set used, this approach suggests greater temporal stability for the leading eigenvectors. An interpretation of eigenvectors in terms of trading strategies is given, as opposed to classification by economic sectors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 375, Issue 2, 1 March 2007, Pages 584-598
Journal: Physica A: Statistical Mechanics and its Applications - Volume 375, Issue 2, 1 March 2007, Pages 584-598
نویسندگان
Diane Wilcox, Tim Gebbie,