کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102997 | 1480094 | 2017 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we analyze the blue-chips (up to 50% of the total index) companies in the Eurozone. Our motivation being analysis of the effect of the 2008 financial crisis. For this purpose, we apply the DCCA cross-correlation coefficient (ÏDCCA) between the country stock market index and their respective blue-chips. Then, with the cross-correlation coefficient, we qualify and quantify how each blue-chip is adherent to its country index, evaluating the type of cross-correlation among them. Subsequently, for each blue-chip, we propose to study the 2008 financial crisis by measuring the adherence between post and pre-crisis. From this analysis, we can construct an adhesion map of each company with respect to the global index. Our database is formed of 12 Eurozone countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 479, 1 August 2017, Pages 38-47
Journal: Physica A: Statistical Mechanics and its Applications - Volume 479, 1 August 2017, Pages 38-47
نویسندگان
E. Guedes, A. DionÃsio, P.J. Ferreira, G.F. Zebende,