IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v11y2008i07ns0219024908005020.html
   My bibliography  Save this article

Serial Correlation, Periodicity And Scaling Of Eigenmodes In An Emerging Market

Author

Listed:
  • DIANE WILCOX

    (School of Computational & Applied Mathematics, University of Witwatersrand, Johannesburg, Private Bag 3, Wits, 2050, South Africa)

  • TIM GEBBIE

    (School of Computational & Applied Mathematics, University of Witwatersrand, Johannesburg, Private Bag 3, Wits, 2050, South Africa;
    QT Capital Management, P.O. Box 413407, Craighall, 2024, South Africa)

Abstract

We investigate serial correlation, periodic, aperiodic and scaling behavior of eigenmodes, i.e., daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002.Periodic, or calendar, components are detected by spectral analysis. We find that calendar effects are limited to eigenmodes which correspond to eigenvalues outside the Wishart range. Using a variance ratio test, we uncover serial correlation in the first eigenmodes and find slight negative serial correlation for eigenmodes within the Wishart range. Our spectral analysis and variance ratio investigations suggest that interpolating missing data or illiquid trading days with zero-order hold introduces high frequency noise and spurious serial correlation. Aperiodic and scaling behavior of the eigenmodes are investigated by using rescaled-range (R/S) methods and detrended fluctuation analysis (DFA). We find that DFA and classic and modified R/S exponents suggest the presence of long-term memory effects in the first five eigenmodes.

Suggested Citation

  • Diane Wilcox & Tim Gebbie, 2008. "Serial Correlation, Periodicity And Scaling Of Eigenmodes In An Emerging Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(07), pages 739-760.
    • Handle: RePEc:wsi:ijtafx:v:11:y:2008:i:07:n:s0219024908005020
    DOI: 10.1142/S0219024908005020
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024908005020
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024908005020?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
    2. Fayyaaz Loonat & Tim Gebbie, 2018. "Learning zero-cost portfolio selection with pattern matching," PLOS ONE, Public Library of Science, vol. 13(9), pages 1-38, September.
    3. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    4. Tim Gebbie & Fayyaaz Loonat, 2016. "Learning zero-cost portfolio selection with pattern matching," Papers 1605.04600, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:11:y:2008:i:07:n:s0219024908005020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.