Cross correlations in an emerging market financial data

被引：23
|
作者：
Cukur, Sadikk
Eryigit, Mehmet
Eryigit, Resul [1 ]
机构：
[1] Abant Izzet Baysal Univ, Dept Phys, TR-14280 Bolu, Turkey
[2] Abant Izzet Baysal Univ, Dept Management, TR-14280 Bolu, Turkey
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 376卷 / 1-2期
关键词：
financial cross-correlations; random matrix; emerging markets; Istanbul Stock Exchange Market;
D O I：
10.1016/j.physa.2006.10.074
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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.
引用
收藏
页码：555 / 564
页数：10
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