Cross correlations in an emerging market financial data
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Dosyalar
Tarih
2007
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We report the results of a study of the spectral properties of the correlation matrix of price fluctuations in the stock prices in an emerging market (Istanbul Stock Exchange Market) by using random matrix theory. Although properties such as the distributions of correlation matrix elements, eigenvalue spacings and components of the eigenvectors show similar trends to those observed for the other markets, the eigenvalue distribution is found to be markedly different compared to similar studies. (c) 2006 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
financial cross-correlations, random matrix, emerging markets, Istanbul Stock Exchange Market
Kaynak
Physica A-Statistical Mechanics And Its Applications
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
Cilt
376
