Correlation study of the Athens Stock Exchange

Antonios Garas and Panos Argyrakis

Physica A: Statistical Mechanics and its Applications, 2007, vol. 380, issue C, 399-410

Abstract: We study the year-after-year properties of three different portfolios traded in the Athens Stock Exchange (ASE) for the time period 1987–2004. We use the minimum spanning tree (MST) technique and the random matrix theory (RMT), which make it possible to examine at the same time the temporal evolution of the portfolios and of the market as a whole. The first four moments of the distribution of correlations and the normalized tree lengths of the MST show a similar behaviour for all three portfolios. However, by studying topological properties of the MST, such as the node degree k, we are able to identify changes to the MST associated to each portfolio that are due to a crisis in the market, like the one that happened during the period 1999–2001. We also see that, while the effect of the market to the information content of the correlation matrix for all three portfolios is almost the same, the market is affected differently by different economic sectors at different time periods.

Keywords: Econophysics; Emerging market; Minimum spanning tree; Random matrix theory (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037843710700221X
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:380:y:2007:i:c:p:399-410

DOI: 10.1016/j.physa.2007.02.097

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 ().