Equity markets' clustering and the global financial crisis

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Borradores de Economía; No. 937

Date published

2016-04-11

Date

2016-04-11

Authors

León-Rincón, Carlos Eduardo
Kim, Geun-Young
Martínez-Ventura, Ana Constanza
Lee, Daeyup

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ISBN

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

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JEL Codes

C38 - Classification Methods; Cluster Analysis; Principal Components; Factor Analysis
L22 - Firm Organization and Market Structure
G15 - International Financial Markets

Temática

Keywords

Keywords

Clustering , Unsupervised learning , Stock market , Connectedness

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6248
 https://hdl.handle.net/20.500.12134/6248
 https://ideas.repec.org/p/bdr/borrec/937.html
 https://doi.org/10.32468/be.937

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

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