Apples and oranges: the difference between theudreaction of the emerging and mature markets toudcrashes

摘要

We study here the behavior of the eigenvalues of the covariance matrices of returns for emerging and mature markets at times of crises. Our results appear toudindicate that mature markets respond to crashes differently to emerging ones and that emerging markets take longer to recover than mature markets. In addition, the results appear to indicate that the second largest eigenvalue gives additional information on market movement and that a study of the behavior of the other eigenvalues may provide insight on crash dynamics.