On the origin of the Epps effect

Bence Tóth and János Kertész

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 54-58

Abstract: The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.

Keywords: Financial correlations; Epps effect; High frequency data (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:54-58

DOI: 10.1016/j.physa.2007.04.111

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