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 information an investor uses to manage an investment portfolio.

MoreLess

Year of publication:	2017
Authors:	Yang, Libin ; Rea, William ; Rea, Alethea
Published in:	International Journal of Financial Studies. - Basel : MDPI, ISSN 2227-7072. - Vol. 5.2017, 3, p. 1-12
Publisher:	Basel : MDPI
Subject:	principal component analysis \| stock correlation \| diversification \| stock portfolios \| ASX 200

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/ijfs5030015 [DOI] 1008629464 [GVK] hdl:10419/195650 [Handle]
Classification:	G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996049