Equity markets' clustering and the global financial crisis

2016-04-112016-04-112016-04-112016-04-11https://repositorio.banrep.gov.co/handle/20.500.12134/6248The 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 examinationPDFspaOpen AccessEquity markets' clustering and the global financial crisisWorking PaperC38 - Classification Methods; Cluster Analysis; Principal Components; Factor AnalysisL22 - Firm Organization and Market StructureG15 - International Financial MarketsClusteringUnsupervised learningStock marketConnectednessMercado de capitalesClusterización (Economía)Acceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0G15 - Mercados financieros internacionalesL22 - Organización de la empresa y estructura de mercadoC38 - Métodos de clasificación; Análisis cluster; Análisis de componentes principales; Análisis factorialLas 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.https://hdl.handle.net/20.500.12134/6248