Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102997 | Physica A: Statistical Mechanics and its Applications | 2017 | 10 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
E. Guedes, A. DionÃsio, P.J. Ferreira, G.F. Zebende,