Borradores de Economia
Número:
937
Publicado:
Clasificación JEL:
C38, L22, G15
Palabras clave:
Clustering, Unsupervised Learning, Stock Market, Connectedness
Lo más reciente
Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia
Ana María Iregui-Bohórquez, Ligia Alba Melo-Becerra, María Teresa Ramírez-Giraldo, Jorge Leonardo Rodríguez Arenas
Diana Ricciulli-Marin, Mateo Uribe-Castro
The effect of the Global Financial Crisis (GFC) has been substantial across markets and countries worldwide. We examine how the GFC has changed the way equity markets group together based on the similarity of stock indices' daily returns. Our examination