Cross-correlations in Warsaw Stock Exchange
Abstract
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 time scale of returns and they approach a saturation level for the time scales 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.
Cite
@article{arxiv.0803.0057,
title = {Cross-correlations in Warsaw Stock Exchange},
author = {R. Rak and J. Kwapien and S. Drozdz and P. Oswiecimka},
journal= {arXiv preprint arXiv:0803.0057},
year = {2008}
}
Comments
presented by R.Rak at FENS2007 conference, 9 pages, 4 Figs