کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977690 | 1480200 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Increasing market efficiency: Evolution of cross-correlations of stock returns
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
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 20 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 is shifted towards the origin while these peaks become sharper and higher, resulting in a diminution of the Epps effect. All these findings indicate that the market becomes increasingly efficient.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 360, Issue 2, 1 February 2006, Pages 505–515
Journal: Physica A: Statistical Mechanics and its Applications - Volume 360, Issue 2, 1 February 2006, Pages 505–515
نویسندگان
Bence Tóth, János Kertész,