On the analysis of cross-correlations in South African market data

Diane Wilcox and Tim Gebbie

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 294-298

Abstract: We report briefly on an application of random matrix theory to the analysis of SA financial market data (An Analysis of cross-correlations in South African financial market data, e- print cond-mat/0402389). Correlation matrices C are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange from January 1993 to December 2002. Spectral properties of C are tested against random matrix predictions. We highlight some quantitative differences which arise when treating prices as existing only when measured, as opposed to interpolating missing or illiquid trading days with a zero-order hold.

Keywords: Random matrices; Cross-correlations; Finance; Emerging markets (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437104009537
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:294-298

DOI: 10.1016/j.physa.2004.06.138

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().