Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195650 
Year of Publication: 
2017
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 5 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
principal component analysis
stock correlation
diversification
stock portfolios
ASX 200
JEL: 
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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