Increasing market efficiency: Evolution of cross-correlations of stock returns
نویسندگان
چکیده
منابع مشابه
Increasing market efficiency: Evolution of cross-correlations of stock returns
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origi...
متن کاملcross-correlations of stock returns
ew York vanished y of timeeir peaks ting in a reasingly We analyse the temporal changes in the cross-correlations of returns on the N Stock Exchange. We show that lead–lag relationships between daily returns of stocks in less than 20 years. We have found that even for high-frequency data the asymmetr dependent cross-correlation functions has a decreasing tendency, the position of th is shifted ...
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The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross...
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This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. ...
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This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2006
ISSN: 0378-4371
DOI: 10.1016/j.physa.2005.06.058