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Apples and oranges: the difference between the reaction of the emerging and mature markets to crashes

Sharkasi, Adel and Crane, Martin and Ruskin, Heather (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

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Abstract

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.

Item Type:Conference or Workshop Item (Paper)
Event Type:Conference
Refereed:Yes
Additional Information:The original publication is available at www.springerlink.com
Uncontrolled Keywords:Covariance Matrix; Eigenvalues and Stock Market Crashes;
Subjects:Mathematics > Economics, Mathematical
Mathematics > Numerical analysis
Physical Sciences > Statistical physics
Computer Science > Computer simulation
DCU Faculties and Centres:Research Initiatives and Centres > Scientific Computing and Complex Systems Modelling (Sci-Sym)
DCU Faculties and Schools > Faculty of Engineering and Computing > School of Computing
Published in:Takayasu, Hideki, (ed.) Practical Fruits of Econophysics. . Springer Tokyo. ISBN 978-4-431-28914-2
Publisher:Springer Tokyo
Official URL:http://dx.doi.org/10.1007/4-431-28915-1_6
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:15372
Deposited On:11 May 2010 10:46 by Martin Crane. Last Modified 11 May 2010 10:46

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