Cross correlations in an emerging market financial data
Physica A: Statistical Mechanics and its Applications (2007)
- ISSN: 03784371
- DOI: 10.1016/j.physa.2006.10.074
Available from linkinghub.elsevier.com
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Abstract
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.
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