Clustering Dynamics Through an Emerging Market Crash in the Global Crisis 2007-2009

author: Diane Wilcox, School of Computational and Applied Mathematics, University of the Witwatersrand
published: July 10, 2009,   recorded: June 2009,   views: 2600

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We investigate the dynamics of stock clustering in the Johannesburg Stock Exchange (JSE), an emerging market, through the financial market crash of 2008. In particular we apply the fully unsupervised parameter free data clustering technique pioneered by Giada and Marsili (2002) to investigate the changing correlation structure of stocks, as well as clustering in daily market-wide activity, in a crisis. We compare our findings with an identical analysis of the London Stock Exchange through the same crisis period.

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