ρx,y between open-close stock markets

L.S. Almeida da Silva, E.F. Guedes, Paulo Ferreira, Andreia Dionisio and G.F. Zebende

Physica A: Statistical Mechanics and its Applications, 2019, vol. 534, issue C

Abstract: In this paper we propose to study the auto and the cross-correlation between open-close stock market indexes. Our choice took into account the main indexes around the world: North America (Dow Jones and NASDAQ — USA; IPC — MEXICO), South America (BOVESPA — Brazil; MERVAL — Argentina), Asia (Nikkei_225 — Japan; SSE — China; Hang Seng — Hong Kong), Europe (IBEX_35 — Spain; CAC_40 — French; DAX — German; FTSE_100 — England). Thus, for the opening and closing stock market index and its respective return, we applied the DFA method for measuring auto-correlation, as well as, the cross-correlation between these signals with DCCA cross-correlation coefficient. Our results show that for auto-correlation there is long-range (power-law) auto-correlations with: αDFA>1.0 for the original index and αDFA≃0.5 for the return. For cross-correlations we found perfect DCCA cross-correlation between open and close indexes at long time-scale, but in short time-scale there are differences between the stock markets. From the point of view of the return, DCCA cross-correlation coefficient between open and close values showing lower DCCA cross-correlation levels. In this case the open returns are not related with the close returns, evidencing the time independence of these observations in this time-scale, for some stock markets.

Keywords: Stock market; DFA; DCCA; Detrended cross-correlation coefficient (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931249x

DOI: 10.1016/j.physa.2019.122152

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