کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102846 1480091 2017 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long-range correlation and market segmentation in bond market
ترجمه فارسی عنوان
همبستگی بلندمدت و تقسیم بازار در بازار اوراق قرضه
کلمات کلیدی
همبستگی بلند مدت، نرخ بهره، فرضیه بازار فراکتال، تقسیم بندی بازار،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
This paper investigates the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence of long-range persistence that exists in one year scale. The degree of long-range correlation related to maturities has an upward tendency with a peak in short term. These findings confirm the expectations of fractal market hypothesis (FMH). Furthermore, we have developed a method based on a complex network to study the long-range cross-correlation structure and applied it to our data, and found a clear pattern of market segmentation in the long run. We also detected the nature of long-range correlation in the sub-period 2007-2012 and 2011-2016. The result from our research shows that long-range auto-correlations are decreasing in the recent years while long-range cross-correlations are strengthening.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 482, 15 September 2017, Pages 477-485
نویسندگان
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