The 21st Century - Cluster Formation in the S&P 500

Maximilian Göbel and Tanya Araújo

No 2018/43, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: Since the beginning of the new millennium, investing in the stock market must have felt like a ride on the roller-coaster. The market went through every state between long-time troughs, trade suspensions and all-time highs. Such turbulent periods give all kinds of portfolio managers a hard time, with correlations of stock returns frequently varying. A deeper understanding of the dynamics within the market and the interlinkages between industry sectors is not only of added value to stock market participants, but also to policy makers, being responsible for implementing measures to counteract possible future macroeconomic imbalances. Therefore, this paper tries to uncover the community struc-ture in the S&P 500 in the years 2000 through 2015 with additional focus on the effect of the Great Recession - especially on the financial sector.

Date: 2018-07
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Persistent link: https://EconPapers.repec.org/RePEc:ise:remwps:wp0432018

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