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Correlation Based Clustering of the Amman Stock Exchange

Author

Listed:
  • Hussein A. Abdoh

    (Al Ain University of Science and Technology, Abu Dhabi, United Arab Emirates.)

Abstract

This study classifies firms listed on Amman Stock Exchange (ASE) into clusters based on pairwise stock correlations. The partitioning level technique is based on the decrease in firms' concertation in their clusters when one additional cluster is created. The results indicate that 5 and 9 clusters lower the concentration significantly and thus are selected as the grouping levels. The concentration of firms in some clusters is very low while the concentration in other clusters is very high. The clustering outcome indicates that ASE could be characterized by high R2 and return synchronicity

Suggested Citation

  • Hussein A. Abdoh, 2017. "Correlation Based Clustering of the Amman Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 259-265.
    • Handle: RePEc:eco:journ1:2017-02-35
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    More about this item

    Keywords

    Clusters; Pairwise Return Correlations; Diversification;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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