Equity markets' clustering and the global financial crisis

Número: 
937
Publicado: 
Clasificación JEL: 
C38, L22, G15
Palabras clave: 
Clustering, Unsupervised Learning, Stock Market, Connectedness

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Lina Fernanda Torres-Gutierrez, Gonzalo Ossa-Stipcianos, Edwin Mauricio Parra-Rodriguez, Egberto Alexander Riveros, Alvaro José Martinez-Monroy, Julián Andrés Gomez-Duran, Juan Sebastián Rojas-Moreno

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