Long-range power-law correlations in stock returns

Pilar Grau

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 3, 521-527

Abstract: This study investigates long-range power-law correlations in US, UK, Japanese, German, French and Spanish stock markets using daily data and applying a recently developed residual analysis termed detrended fluctuation analysis (DFA). We quantify correlations for the returns, absolute value of returns and square of returns. The results show that there is little evidence of long-range correlations in returns but there is strong evidence of long-range correlation in absolute and squared returns. For the absolute returns, a cross-over of approximately 41 days is found.

Keywords: Stock market prices; Detrended fluctuation analysis; Long-memory processes (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:3:p:521-527

DOI: 10.1016/S0378-4371(01)00248-5

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