کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7376641 | 1480081 | 2018 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-term correlations and cross-correlations in IBovespa and constituent companies
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of IBovespa and the individual companies. We find persistent long-term correlations and cross-correlations which are weaker than those found for USA market. Our results indicate that market indices of developing markets exhibit weaker coupling with its constituents than for mature developed markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 492, 15 February 2018, Pages 1431-1438
Journal: Physica A: Statistical Mechanics and its Applications - Volume 492, 15 February 2018, Pages 1431-1438
نویسندگان
NeÃlson F. de Lima, Leonardo H.S. Fernandes, Jader S. Jale, Paulo S.G. de Mattos Neto, Tatijana StoÅ¡iÄ, Borko StoÅ¡iÄ, Tiago A.E. Ferreira,