Increasing market efficiency: Evolution of cross-correlations of stock returns
| dc.creator | Toth, Bence | |
| dc.creator | Kertesz, Janos | |
| dc.date | 2005-06-08 | |
| dc.date | 2005-06-17 | |
| dc.date.accessioned | 2026-07-07T12:27:48Z | |
| dc.date.available | 2026-07-07T12:27:48Z | |
| dc.description | 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 twenty 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 are 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. | |
| dc.description | 12 pages, 8 figures, accepted to Physica A | |
| dc.identifier | https://arxiv.org/abs/physics/0506071 | |
| dc.identifier | http://arxiv.org/abs/physics/0506071 | |
| dc.identifier | Physica A 360, 505-515 (2006) | |
| dc.identifier | doi:10.1016/j.physa.2005.06.058 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/215332 | |
| dc.subject | Physics and Society | |
| dc.subject | Statistical Finance | |
| dc.title | Increasing market efficiency: Evolution of cross-correlations of stock returns | |
| dc.type | text |