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Investigation of factor rotation routines in principal component analysis of stock returns
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613236127334400 |
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| access_status_str | Open Access |
| author | Weimar, Nicole |
| author2 | Bosman, Petrus |
| author_browse | Bosman, Petrus Weimar, Nicole |
| author_facet | Bosman, Petrus Weimar, Nicole |
| author_sort | Weimar, Nicole |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8533 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:56.154Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8533 Investigation of factor rotation routines in principal component analysis of stock returns Weimar, Nicole Bosman, Petrus Mathematical Finance Includes bibliographical references. 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. 2014-10-17T10:09:59Z 2014-10-17T10:09:59Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8533 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Weimar, Nicole Investigation of factor rotation routines in principal component analysis of stock returns |
| thesis_degree_str | Master's |
| title | Investigation of factor rotation routines in principal component analysis of stock returns |
| title_full | Investigation of factor rotation routines in principal component analysis of stock returns |
| title_fullStr | Investigation of factor rotation routines in principal component analysis of stock returns |
| title_full_unstemmed | Investigation of factor rotation routines in principal component analysis of stock returns |
| title_short | Investigation of factor rotation routines in principal component analysis of stock returns |
| title_sort | investigation of factor rotation routines in principal component analysis of stock returns |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8533 |
| work_keys_str_mv | AT weimarnicole investigationoffactorrotationroutinesinprincipalcomponentanalysisofstockreturns |