Increasing market efficiency: Evolution of cross-correlations of stock returns

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.