Khoo, Tzung Hsuen and Pathmanathan, Dharini and Dabo-Niang, Sophie (2023) Spatial autocorrelation of global stock exchanges using functional areal spatial principal component analysis. Mathematics, 11 (3). ISSN 2227-7390, DOI https://doi.org/10.3390/math11030674.
Full text not available from this repository.Abstract
This work focuses on functional data presenting spatial dependence. The spatial autocorrelation of stock exchange returns for 71 stock exchanges from 69 countries was investigated using the functional Moran's I statistic, classical principal component analysis (PCA) and functional areal spatial principal component analysis (FASPCA). This work focuses on the period where the 2015-2016 global market sell-off occurred and proved the existence of spatial autocorrelation among the stock exchanges studied. The stock exchange return data were converted into functional data before performing the classical PCA and FASPCA. Results from the Monte Carlo test of the functional Moran's I statistics show that the 2015-2016 global market sell-off had a great impact on the spatial autocorrelation of stock exchanges. Principal components from FASPCA show positive spatial autocorrelation in the stock exchanges. Regional clusters were formed before, after and during the 2015-2016 global market sell-off period. This work explored the existence of positive spatial autocorrelation in global stock exchanges and showed that FASPCA is a useful tool in exploring spatial dependency in complex spatial data.
| Item Type: | Article |
|---|---|
| Funders: | Universiti Malaya, Faculty Research Grant (Grant No: GPF088A-2020) |
| Uncontrolled Keywords: | Functional data analysis; Spatial autocorrelation; Principal component analysis; Stock market |
| Subjects: | H Social Sciences > HC Economic History and Conditions Q Science > QA Mathematics |
| Divisions: | Faculty of Science > Institute of Mathematical Sciences |
| Depositing User: | Ms Zaharah Ramly |
| Date Deposited: | 01 Dec 2023 03:34 |
| Last Modified: | 01 Dec 2023 03:34 |
| URI: | http://eprints.um.edu.my/id/eprint/38706 |
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