Clustering Effect of Style Based on Pearson Correlation: Example of SSE50 Sample Stocks

Aimed at the distinctiveness of the domino effect of board linkage of securities business, such as industry, region, concept and achievement, a kind of clustering is done, which uses average linkage between groups and the Pearson correlation as the distance between stocks. The object is the synchronous correlation coefficient of the daily difference of logarithm of closure price of stocks in Shanghai 50 index from 2004 to 2006. The result of the research is that the primary clustering labels are industry (the most important), concept and region. In each cluster, the outstanding achievement and the circulation are the clustering label. The banks, the steel and the information technology are the most distinct, and the petroleum & chemical, the energy source and the aviation are not very distinct. As a result, the industry board of Shanghai 50 index is distinct, and the distinctiveness of the notion board, the region board and the outstanding achievement board are distinct in a certain extent.