Borradores de Economia
Número:
937
Publicado:
Clasificación JEL:
C38, L22, G15
Palabras clave:
Clustering, Unsupervised Learning, Stock Market, Connectedness
Lo más reciente
Diego Fernando Cuesta-Mora, Fredy Alejandro Gamboa-Estrada, Camilo Eduardo Sánchez-Quinto
María José Roa-García, Gloria Amparo Alonso Masmela, Nidia García Bohórquez, Diego A. Rodríguez-Pinilla
José Vicente Romero-Chamorro, Hernando Vargas-Herrera
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