Investigation of factor rotation routines in principal component analysis of stock returns

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dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorWeimar, Nicoleen_ZA
dc.date.accessioned2014-10-17T10:09:59Z
dc.date.available2014-10-17T10:09:59Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis paper investigates rotation routines that will produce uncorrelated rotated principal components for a dataset of stock returns, in an attempt to identify the macroeconomic factors that best explain the variability among risk-adjusted stock returns on the Johannesburg Stock Exchange. An alternative to the more traditional rotation approaches is used, which creates subsets of principal components with similar variances that are rotated in turn. It is found that only one of the three normalisation constraints examined can retain uncorrelated principal components after rotation. The results also show that when subspaces of components are rotated that have close eigenvalues, the different rotation criteria used to rotate principal components will produce similar results. After rotating the suitable subsets using varimax rotation, it is found that the first rotated component can be explained by the African Industrials sector, the second rotated component is related to the African Consumer Services sector while the third rotated component shows a significant relationship to the African Finance factor.en_ZA
dc.identifier.apacitationWeimar, N. (2014). <i>Investigation of factor rotation routines in principal component analysis of stock returns</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8533en_ZA
dc.identifier.chicagocitationWeimar, Nicole. <i>"Investigation of factor rotation routines in principal component analysis of stock returns."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8533en_ZA
dc.identifier.citationWeimar, N. 2014. Investigation of factor rotation routines in principal component analysis of stock returns. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Weimar, Nicole AB - This paper investigates rotation routines that will produce uncorrelated rotated principal components for a dataset of stock returns, in an attempt to identify the macroeconomic factors that best explain the variability among risk-adjusted stock returns on the Johannesburg Stock Exchange. An alternative to the more traditional rotation approaches is used, which creates subsets of principal components with similar variances that are rotated in turn. It is found that only one of the three normalisation constraints examined can retain uncorrelated principal components after rotation. The results also show that when subspaces of components are rotated that have close eigenvalues, the different rotation criteria used to rotate principal components will produce similar results. After rotating the suitable subsets using varimax rotation, it is found that the first rotated component can be explained by the African Industrials sector, the second rotated component is related to the African Consumer Services sector while the third rotated component shows a significant relationship to the African Finance factor. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Investigation of factor rotation routines in principal component analysis of stock returns TI - Investigation of factor rotation routines in principal component analysis of stock returns UR - http://hdl.handle.net/11427/8533 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8533
dc.identifier.vancouvercitationWeimar N. Investigation of factor rotation routines in principal component analysis of stock returns. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8533en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleInvestigation of factor rotation routines in principal component analysis of stock returnsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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