Does the monetary policy influenced cross-correlations on the main world stocks markets? Power Law Classification Scheme analysis
Adrian Tadla and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 519, issue C, 72-81
The study analyses the impact of central bank activities carried out as a result of the crisis in 2008 on cross-correlations observed on stocks exchanges. Using the power law classification scheme (PLCS), histograms of the correlation strength for five groups of entities from different regions of the world were examined. Each of the groups contained 16 quotes selected among the companies listed on the following indexes: All Ordinaries, CAC 40, DAX, DJI, FTSE 100, Hang Seng, Nikkei 225. The analysis was carried out by comparing the correlation strengths histograms for the selected periods before and after 2008 year. Significant differences between the group of markets on which central banks’ intervention took place from those where such intervention was not carried out were pointed. In particular, the cross-correlations among companies in the USA and European markets were compared with the situation on the Australian market. The Japanese and Singapore markets can be considered as the special cases where no direct intervention took place but due to the strong relationship with European and USA economy the cross-correlations have been disturbed.
Keywords: Econophysics; Time series; Cross-correlations; PLCS (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:519:y:2019:i:c:p:72-81
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().