  We investigate serial correlation, periodic, aperiodic and scaling behaviour
of eigenmodes, i.e. daily price fluctuation time-series derived from
eigenvectors, of correlation matrices of shares listed on the Johannesburg
Stock Exchange (JSE) from January 1993 to December 2002. Periodic, or calendar,
components are detected by spectral analysis. We find that calendar effects are
limited to eigenmodes which correspond to eigenvalues outside the Wishart
range. Using a variance ratio test, we uncover serial correlation in the first
eigenmodes and find slight negative serial correlation for eigenmodes within
the Wishart range. Our spectral analysis and variance ratio investigations
suggest that interpolating missing data or illiquid trading days with
zero-order hold introduces high frequency noise and spurious serial
correlation.
  Aperiodic and scaling behaviour of the eigenmodes are investigated by using
rescaled-range (R/S) methods and detrended fluctuation analysis (DFA). We find
that DFA and classic and modified R/S exponents suggest the presence of
long-term memory effects in the first five eigenmodes.
