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Apples and oranges: the difference between the reaction of the emerging and mature markets to crashes
Sharkasi, Adel; Crane, Martin; Ruskin, Heather J.
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.
Keyword(s): Economics, Mathematical; Numerical analysis; Statistical physics; Computer simulation; Covariance Matrix; Eigenvalues and Stock Market Crashes
Publication Date:
2006
Type: Other
Peer-Reviewed: Unknown
Language(s): English
Contributor(s): Takayasu, Hideki
Institution: Dublin City University
Citation(s): Sharkasi, Adel, Crane, Martin ORCID: 0000-0001-7598-3126 <https://orcid.org/0000-0001-7598-3126> and Ruskin, Heather J. ORCID: 0000-0001-7101-2242 <https://orcid.org/0000-0001-7101-2242> (2006) Apples and oranges: the difference between the reaction of the emerging and mature markets to crashes. In: Proceedings of 3rd Nikkei Econophysics Symposium - Practical Fruits of Econophysics, November 2004, Tokyo, Japan. ISBN 978-4-431-28914-2
Publisher(s): Springer Tokyo
File Format(s): application/pdf
Related Link(s): http://doras.dcu.ie/15372/1/AdelSharkasiNikkei3.pdf,
http://dx.doi.org/10.1007/4-431-28915-1_6
First Indexed: 2010-05-12 05:05:03 Last Updated: 2019-02-09 06:55:03