Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes

Adel Sharkasi, Martin Crane and Heather J. Ruskin
Additional contact information
Adel Sharkasi: Dublin City University
Martin Crane: Dublin City University
Heather J. Ruskin: Dublin City University

A chapter in Practical Fruits of Econophysics, 2006, pp 38-42 from Springer

Abstract: Summary We study here the behavior of the eigenvalues of the covariance matrices of returns for emerging and mature markets at times of crises. Our results appear to indicate that mature markets respond to crashes differently to emerging ones and that emerging markets take longer to recover than mature markets. In addition, the results appear to indicate that the second largest eigenvalue gives additional information on market movement and that a study of the behavior of the other eigenvalues may provide insight on crash dynamics.

Keywords: Covariance Matrix; Eigenvalues and Stock Crashes (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-4-431-28915-9_6

Ordering information: This item can be ordered from
http://www.springer.com/9784431289159

DOI: 10.1007/4-431-28915-1_6

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().