An analysis of cross-correlations in an emerging market

被引：64

作者：

Wilcox, Diane ^{[1
]}

Gebbie, Tim ^{[2
]}

机构：

[1] Department of Mathematics and Applied Mathematics, University of Cape Town, Rondebosch

[2] Futuregrowth Asset Management, Newlands 7725

来源：

Physica A: Statistical Mechanics and its Applications | 2007年 / 375卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Cross-correlations; Emerging markets; Finance; Random matrices;

D O I：

10.1016/j.physa.2006.10.030

中图分类号：

学科分类号：

摘要：

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. © 2006 Elsevier B.V. All rights reserved.

引用

页码：584 / 598

页数：14

共 25 条

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