Correlation study of the Athens Stock Exchange
AbstractWe study the year-after-year properties of three different portfolios traded in the Athens Stock Exchange (ASE) for the time period 1987–2004. We use the minimum spanning tree (MST) technique and the random matrix theory (RMT), which make it possible to examine at the same time the temporal evolution of the portfolios and of the market as a whole. The first four moments of the distribution of correlations and the normalized tree lengths of the MST show a similar behaviour for all three portfolios. However, by studying topological properties of the MST, such as the node degree k, we are able to identify changes to the MST associated to each portfolio that are due to a crisis in the market, like the one that happened during the period 1999–2001. We also see that, while the effect of the market to the information content of the correlation matrix for all three portfolios is almost the same, the market is affected differently by different economic sectors at different time periods.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 380 (2007)
Issue (Month): C ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Econophysics; Emerging market; Minimum spanning tree; Random matrix theory;
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