The modern world financial market is subject to synchronizing forces that allow the different stock markets to exert strong influences upon each other. Prices t Market X followed those in Market X … is a common media headline. .
Principal Components Analysis is the statistical tool to study this kind of market synchronization. This analysis groups those variables that covary together into distinct components or factors. Each component, therefore, is a associated with a pattern of covariance between the set of studied variables.The load of each variable on each of these components measures the strength of such covariance for each covariance pattern.
This analysis shows that the evolution of the indices of 20 different Stock Markets from January, 2, 2007 to August, 13, 2008, may be grouped in two different patterns, called here components E and D. The Brazilian Stock Market (BOV in fig. 1) has the maximal load for the component E, wheras the Milan Stock Market (MIL in fig. 1). NASDAQ (NAS) and the Singapore Bourse (SING) have similar loadings in both components. As a matter of fact the countries having the highest loadings in component D are the so called developed countries, whereas those countries high loanding in E are the so called emergent countries.
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