摘要翻译:
我们研究了在华沙证券交易所上市并被纳入WIG20指数的最大公司的股票间相关性。相关矩阵分析的结果表明,波兰股票市场可以用单因素模型很好地描述。我们还表明,股票与股票之间的相关性随着收益率的时间尺度而增加,并且在至少200分钟的时间尺度上接近饱和水平,即比某些发达市场的情况长一个数量级。我们还表明,股票之间相关性的强弱主要取决于它们的资本化程度。这些结果与我们先前的研究结果相结合,表明波兰股票市场目前处于新兴市场阶段和成熟市场阶段之间。
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英文标题:
《Cross-correlations in Warsaw Stock Exchange》
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作者:
R.Rak, J.Kwapien, S.Drozdz, P.Oswiecimka
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最新提交年份:
2008
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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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一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one factor model. We also show that the stock-stock correlations tend to increase with the time scale of returns and they approach a saturation level for the time scales of at least 200 min, i.e. an order of magnitude longer than in the case of some developed markets. We also show that the strength of correlations among the stocks crucially depends on their capitalization. These results combined with our earlier findings together suggest that now the Polish stock market situates itself somewhere between an emerging market phase and a mature market phase.
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PDF链接:
https://arxiv.org/pdf/0803.0057