Comparando distancias en los mercados financieros mundiales

Linda Margarita Medina Herrera () and Ernesto Pacheco Velázquez ()
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Linda Margarita Medina Herrera: Tecnológico de Monterrey
Ernesto Pacheco Velázquez: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2011, vol. 6, issue 2, 88-98

Abstract: This paper analyzes the correlation of the world main financial indexes. We compare the structure of the minimum spanning tree constructed from the correlation matrix (Euclidean distance) with minimum spanning trees obtained using three Non-Euclidean distances. It is found that indexes in Western Europe, Asia and North America form large clusters, while the indexes of South America, Eastern Europe and Africa are less strong blocks. It is also found that the distances Chi-City Block and City Block best separate clusters and point exactly to the central vertex of the tree. The above distances are preferable to Pearson correlation coefficients to analyze the correlation structure of the trees

Keywords: índices; Financieros.; Correlación.; Distancias.; Árboles; de; expansión; mínima (search for similar items in EconPapers)
JEL-codes: C02 C22 C38 C45 C61 C81 D85 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201111

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