This title appears in the Scientific Report :
2001
Towards identifying the world stock market cross-correlations : DAX versus Dow Jones
Towards identifying the world stock market cross-correlations : DAX versus Dow Jones
Effects connected with the world globalization affect also the financial markets. In quantifying the related characteristics, we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during t...
Saved in:
Personal Name(s): | Drozdz, S. |
---|---|
Grümmer, F. / Ruf, R. I. / Speth, J. | |
Contributing Institute: |
Institut 3 (Theoretische Kernphysik); IKP-3 |
Published in: | Physica / A, 294 (2001) S. 226 - 234 |
Imprint: |
Amsterdam
North Holland Publ. Co.
2001
|
Physical Description: |
226 - 234 |
Document Type: |
Journal Article |
Research Program: |
Theoretische Kernphysik |
Series Title: |
Physica A
294 |
Subject (ZB): | |
Publikationsportal JuSER |
Effects connected with the world globalization affect also the financial markets. In quantifying the related characteristics, we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during the years 1990-99. The time-dependence of the underlying cross-correlations is monitored using a time window of 60 trading days. Our study shows that if the time-zone delays are properly accounted for the two distant markets largely merge into one. This effect is particularly visible during the last few years. It is however, the Dow Jones which dictates the trend. (C) 2001 Elsevier Science B.V. All rights reserved. |