Abstract (may include machine translation)
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.
Original language | English |
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Pages (from-to) | 505-515 |
Number of pages | 11 |
Journal | Physica A: Statistical Mechanics and its Applications |
Volume | 360 |
Issue number | 2 |
DOIs | |
State | Published - 1 Feb 2006 |
Externally published | Yes |
Keywords
- Correlations
- Epps effect
- Market efficiency