Correlation Based Clustering of the Amman Stock Exchange

Hussein A. Abdoh
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Hussein A. Abdoh: Al Ain University of Science and Technology, Abu Dhabi, United Arab Emirates.

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 2, 259-265

Abstract: This study classifies firms listed on Amman Stock Exchange (ASE) into clusters based on pairwise stock correlations. The partitioning level technique is based on the decrease in firms' concertation in their clusters when one additional cluster is created. The results indicate that 5 and 9 clusters lower the concentration significantly and thus are selected as the grouping levels. The concentration of firms in some clusters is very low while the concentration in other clusters is very high. The clustering outcome indicates that ASE could be characterized by high R2 and return synchronicity

Keywords: Clusters; Pairwise Return Correlations; Diversification (search for similar items in EconPapers)
JEL-codes: G10 G11 M21 (search for similar items in EconPapers)
Date: 2017
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