Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

S Drożdż, F Grümmer, F Ruf and J Speth

Physica A: Statistical Mechanics and its Applications, 2001, vol. 294, issue 1, 226-234

Abstract: 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.

Keywords: Econophysics; Cross-correlations (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:294:y:2001:i:1:p:226-234

DOI: 10.1016/S0378-4371(01)00119-4

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