Procrustes Analysis and Stock Markets

Résumé

In this paper, Procrustes Analyses are introduced with their various facets and set in an economics framework with an application to stock markets. The time series of the daily indexes of eight major world stock markets are considered for a four-year period (1988-91) and five two-year mobile windows are built to find a common graphical representation in which the evolution of the relations among the stock markets can be appreciated. Both Procrustes and Generalized Procrustes Analyses are applied in order to illuminate this evolution.