cross-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 towards the origin while these peaks become sharper and higher, resul diminution of the Epps effect. All these findings indicate that the market becomes inc efficient. r 2005 Elsevier B.V. All rights reserved.