G7 STOCK MARKETS, WHO IS THE FIRST TO DEFEAT THE DCCA CORRELATION?

Paulo Ferreira and Andreia Dionísio
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Andreia Dionísio: CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal

Review of Socio - Economic Perspectives, 2016, vol. 1, issue 1, 108-120

Abstract: The Efficient Market Hypothesis (EMH), one of the most important hypothesis in financial economics, argues that return rates have no memory (correlation) which implies that agents cannot make abnormal profits in financial markets, due to the possibility of arbitrage operations. We analyse G7 stock returns using detrended cross-correlation analysis and its correlation coefficient, a methodology which analyzes long-range behavior between series. Our main results show that the longrange correlation of return rates is significant till (at least) the 140th lag, which corresponds to about seven months. The stock markets that show higher serial dependence, evidence a strong correlatio

Keywords: Efficient Market Hypothesis; long-range correlation coefficient; lag; detrended cross-correlation analysis. (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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