Universiti Teknologi Malaysia Institutional Repository

Dynamics of correlation structure in stock market

Djauhari, Maman Abdurachman and Gan, Siew Lee (2014) Dynamics of correlation structure in stock market. Entropy, 16 (1). pp. 455-470. ISSN 1099-4300


Official URL: http://dx.doi.org/10.3390/e16010455


In this paper a correction factor for Jennrich's statistic is introduced in order to be able not only to test the stability of correlation structure, but also to identify the time windows where the instability occurs. If Jennrich's statistic is only to test the stability of correlation structure along predetermined non-overlapping time windows, the corrected statistic provides us with the history of correlation structure dynamics from time window to time window. A graphical representation will be provided to visualize that history. This information is necessary to make further analysis about, for example, the change of topological properties of minimal spanning tree. An example using NYSE data will illustrate its advantages

Item Type:Article
Uncontrolled Keywords:mahalanobis square distance, multivariate normal distribution, network topology, pearson correlation coefficient, random matrix
Subjects:Q Science
ID Code:52450
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:01 Feb 2016 11:52
Last Modified:17 Sep 2018 12:08

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