Equity markets' clustering and the global financial crisis

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Borradores de Economía; No. 937
Date published
2016-04-11
Date of last update
2016-04-11
Author
León-Rincón, Carlos Eduardo
Kim, Geun-Young
Martínez-Ventura, Ana Constanza
Lee, Daeyup
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
The effect of the Global Financial Crisis (GFC) has been substantial across markets and countries worldwide. We examine how the GFC has changed the way equity markets group together based on the similarity of stock indices' daily returns. Our examination
JEL Codes
C38 - Classification Methods; Cluster Analysis; Principal Components; Factor AnalysisL22 - Firm Organization and Market StructureG15 - International Financial Markets
Keywords
Clustering ; Unsupervised learning ; Stock market ; Connectedness ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6248
https://hdl.handle.net/20.500.12134/6248
https://doi.org/10.32468/be.937
https://ideas.repec.org/p/bdr/borrec/937.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit