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Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes

In: Practical Fruits of Econophysics

Author

Listed:
  • Adel Sharkasi

    (Dublin City University)

  • Martin Crane

    (Dublin City University)

  • Heather J. Ruskin

    (Dublin City University)

Abstract

Summary We study here the behavior of the eigenvalues of the covariance matrices of returns for emerging and mature markets at times of crises. Our results appear to indicate that mature markets respond to crashes differently to emerging ones and that emerging markets take longer to recover than mature markets. In addition, the results appear to indicate that the second largest eigenvalue gives additional information on market movement and that a study of the behavior of the other eigenvalues may provide insight on crash dynamics.

Suggested Citation

  • Adel Sharkasi & Martin Crane & Heather J. Ruskin, 2006. "Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 38-42, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_6
    DOI: 10.1007/4-431-28915-1_6
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    Cited by:

    1. Sharkasi, Adel & Crane, Martin & Ruskin, Heather J. & Matos, Jose A., 2006. "The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 511-521.

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