The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms

Physica A: Statistical Mechanics and its Applications

Volumn 368, Issue 2, 2006, Pages 511-521

  Sharkasi, Adel ^a   Crane, Martin ^a   Ruskin, Heather J ^a   Matos, Jose A ^b  

^a DUBLIN CITY UNIVERSITY   (Ireland)

^b UNIVERSITY OF PORTO   (Portugal)

Author keywords

Eigenvalues and wavelet analysis; Variance covariance matrix

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; MATHEMATICAL TRANSFORMATIONS; MATRIX ALGEBRA; STATISTICAL MECHANICS; WAVELET TRANSFORMS;

EIGENVALUES AND WAVELET ANALYSIS; STOCK MARKETS; VARIANCE-COVARIANCE MATRIX;

ECONOMICS;

EID: 33744817059     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.12.048     Document Type: Article

References (26)

1. Meric I., and Meric G. Co-movements of european equity markets before and after the 1987 crash. Multinational Finance J. 1 2 (1997) 137-152
2. J. Kwapien, S. Drozdz, J. Speth, Alternation of different scaling regimes in the stock market fluctuation (available from www.fz-juelich.de/ikp/publications/AR2002/CHAP4/409.pdf) 2002 (accessed 11 May 2004).
3. G. Keogh, S. Sharifi, H. Ruskin, M. Crane, Epochs in market sector index data-empirical or optimistic?, in: H. Takayasu, (Ed.), Proceedings of the Second Nikkei Econophysics Symposium-Application of Econophysics, Lecture Notes in Computer Science, Springer, November 2003, pp. 83-89, ISBN 4-431-14028-X.
4. Kwapien J., Drozdz S., and Speth J. Time scale involved in emergent market coherence. Physica A 337 (2004) 231-242
5. Pafka S., and Kondor I. Noisy covariance matrices and portfolio optimization. Eur. Phys. J. B 27 (2002) 277-280
6. Galluccio S., Bouchaud J.P., and Potters M. Rational decisions, random matrices and spin glasses. Physica A 259 (1998) 449-456
7. Laloux L., Cizeau P., Bouchaud J.P., and Potters M. Noise dressing of financial correlation matrices. Phys. Rev. Lett. 83 7 (1999) 1467-1470
8. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., and Stanley H.E. Universal and non-universal properties of cross correlations in financial time series. Phys. Rev. Lett. 83 7 (1999) 1471-1474
9. Laloux L., Cizeau P., and Potters M. Random matrix theory and financial correlations. Int. J. Theoret. Appl. Finance (IJTAF) 3 3 (2000) 391-397
10. Plerou V., Gopikrishnan P., and Rosenow B. Collective behaviour of stock price movement: a random matrix theory approach. Physica A 299 (2001) 175-180
11. Wilcox D., and Gebbie T. On the analysis of cross-correlations in South African market data. Physica A 344 1-2 (2004) 294-298
12. D. Wilcox, T. Gebbie, An analysis of cross-correlations in South African market data, Physica A (2004) e-print http://arxiv.org/abs/cond-mat/0402389, submitted for publication.
13. Sharifi S., Crane M., Shamaie A., and Ruskin H. Random matrix theory for portfolio optimization: a stability approach. Physica A 335 3-4 (2004) 629-643
14. Gopikrishnan P., Rosenow B., Plerou V., and Stanley E. Quantifying and interpreting collective behaviour in financial markets. Phys. Rev. E 64 (2001) 035106 (1-4)
15. S. Patel, A. Sarkar, Stock market crises in developed and emerging stock markets, Federal Reserve Bank of New York, Research Paper, No. 9809, 1998.
16. R. Fuss, The financial characteristics between emerging and developed equity markets, Policy Modelling, International Conference Brussels, EcoMod Network, July 2002.
17. R. Salomons, H. Grootveld, The equity risk premium: emerging versus developed markets, University of Groningen SOM Working Paper No. 02E45, August 7, 2002.
18. P.D. Wooldridge, D. Domanski, A. Cobau, Changing links between mature and emerging financial markets, BIS Quarterly Review, September 2003, pp. 45-54.
19. A. Sharkasi, M. Crane, H.J. Ruskin, Apples and oranges: the difference between the reaction of emerging and mature markets to crashes, in: H. Takayasu (Ed.), Proceedings of the Third Nikkei Econophysics Research Workshop and Symposium-Practical Fruits of Econophysics, Springer, 2006, ISBN: 104-431-28914-3.
20. Litterman R., and Winkelmann K. Estimating covariance matrices. In: Krieger R.A. (Ed). Goldman-Sachs Risk Management Series (1998), Goldman, Sachs & Co
21. Hijmans H.E. Discrete wavelet and multiresolution analysis. In: Koornwinder T.H. (Ed). Wavelets: An Elementary Treatment of Theory and Application (1993), World Scientific, Singapore 49-79
22. Bruce A., and Gao H.Y. Applied Wavelet Analysis with S-Plus (1996), Springer, New York
23. Z. Gonghui, J.L. Starck, J. Campbell, F. Murtagh, The wavelet transform for filtering financial data stream (available from strule.cs.qub.ac.uk/∼gzheng/financial-engineering/finpapermay99.html) 1999 (accessed 20 October 2004).
24. Di Matteo T., Aste T., and Dacorogna M.M. Scaling behaviors in differently developed markets. Physica A 324 (2003) 183-188
25. Di Matteo T., Aste T., and Dacorogna M.M. Long-term memory of developed and emerging markets: using the scaling analysis to characterize their stage of development. J. Banking Finance 29 (2005) 827-851
26. Sornette D. Why stock markets crash: critical events in complex financial systems (2002), Princeton University Press, New Jersey, USA ISBN: 0-691-09630-9