英文标题：
《Plunges in the Bombay stock exchange: Characteristics and indicators》
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作者：
Kinjal Banerjee, Chandradew Sharma, N. Bittu
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最新提交年份：
2017
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英文摘要：
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we investigate the financial cross correlation co-efficients among the sectors of BSE and Price by Earning (PE) ratio of BSE Sensex. We show that the behavior of these quantities during normal periods and during crisis is very different. We show that the PE ratio shows a particular distinctive trend in the approach to a crash of the financial market and can therefore be used as an indicator of an impending catastrophe. We propose that a model of analysis of crashes in a financial market can be built using two parameters: (i) the PE ratio and (ii) the largest eigenvalue of the cross correlation matrix.
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中文摘要：
我们对孟买证券交易所（BSE）的各个部门进行了为期八年的研究，从2006年1月到2014年3月。利用八年期的每日收益数据，我们研究了疯牛病行业之间的财务互相关系数和疯牛病敏感指数的市盈率。我们表明，这些量在正常时期和危机时期的行为是非常不同的。我们表明，在金融市场崩溃的过程中，市盈率表现出一种特殊的独特趋势，因此可以作为即将发生灾难的指标。我们提出，可以使用两个参数建立金融市场崩溃分析模型：（i）市盈率和（ii）互相关矩阵的最大特征值。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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