Cross correlations in an emerging market financial data

Sadık Çukur, Mehmet Eryigit () and Resul Eryiğit

Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 555-564

Abstract: We report the results of a study of the spectral properties of the correlation matrix of price fluctuations in the stock prices in an emerging market (Istanbul Stock Exchange Market) by using random matrix theory. Although properties such as the distributions of correlation matrix elements, eigenvalue spacings and components of the eigenvectors show similar trends to those observed for the other markets, the eigenvalue distribution is found to be markedly different compared to similar studies.

Keywords: Financial cross-correlations; Random matrix; Emerging markets; Istanbul Stock Exchange Market (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:555-564

DOI: 10.1016/j.physa.2006.10.074

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