Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-Dec08-Article2-Coorelation Based Clutering of Stocks Traded in NSE
- Price : 80.00
- Published on December 1, 2008
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
This paper presents a topological classification of top 42 stocks traded in the National Stock Exchange of India based on the co-movements between individual stocks with reference to the financial year 2007 – 2008. The hierarchical structure is obtained using the matrix of correlation coefficients computed between all possible pairs of 42 stocks using hierarchical clustering algorithms. The dynamics of the system is investigated by studying the distribution and time dependence of the correlation coefficients. The empirical results show that it is possible to obtain a meaningful taxonomy based solely on the co-movements between individual stocks and the fundamental distance metric assumption, without any presumptions of the companies’ business activity.
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.