Financial Insights from the Last Few Components of a Stock Market PCA

Financial Insights from the Last Few Components of a Stock Market PCA

We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks may contain useful financial insights by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the informat...

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Bibliographic Details
Main Authors: Libin Yang, William Rea, Alethea Rea
Format: Article
Language:English
Published: MDPI AG 2017-07-01
Series:International Journal of Financial Studies
Subjects:
principal component analysis
stock correlation
diversification
stock portfolios
ASX 200
Online Access:https://www.mdpi.com/2227-7072/5/3/15

Internet

https://www.mdpi.com/2227-7072/5/3/15

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