Cross-Correlations in Warsaw Stock Exchange

• Authors: R. Rak , J. Kwapień , P. Oświęcimka , S. Drożdż
• Languages of publication: EN

Abstracts

EN

We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one-factor model. We also show that the stock- stock correlations tend to increase with the timescale of returns and they approach a saturation level for the timescales of at least 200 min, i.e. an order of magnitude longer than in the case of some developed markets. We also show that the strength of correlations among the stocks crucially depends on their capitalization. These results combined with our earlier findings together suggest that now the Polish stock market situates itself somewhere between an emerging market phase and a mature market phase.

Keywords

EN

89.20.-a; 89.65.Gh; 89.75.-k

Discipline

• 89.75.-k: Complex systems(for complex chemical systems, see 82.40.Qt; for biological complexity, see 87.18.-h)
• 89.20.-a: Interdisciplinary applications of physics
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 561-568

Dates

published

2008-09

received

2007-11-22

Contributors

author

R. Rak

• Institute of Physics, University of Rzeszów, Rejtana 16A, PL-35-959 Rzeszów, Poland

author

J. Kwapień

• Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland

author

P. Oświęcimka

• Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland

author

S. Drożdż

• Institute of Physics, University of Rzeszów, Rejtana 16A, PL-35-959 Rzeszów, Poland
• Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland

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Identifiers

DOI

10.12693/APhysPolA.114.561