Friendship of Stock Indices Cover Image

Friendship of Stock Indices
Friendship of Stock Indices

Author(s): László Nagy, Mihály Ormos
Subject(s): Business Economy / Management, Financial Markets, ICT Information and Communications Technologies
Published by: Masarykova univerzita nakladatelství
Keywords: cluster analysis; equity index networks; machine learning;
Summary/Abstract: The aim of this study is to cluster different stock indices based on historical time series data. The current research shows that tail events have minor effect on the equity index structure. It also turns out that major part of the total variance can be explained by clusters. In addition, cluster wise regressions are reliable, hence CAPM with clusters gives real information about risk and reward.

  • Page Range: 473-480
  • Page Count: 8
  • Publication Year: 2016
  • Language: English