DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone

• Autor(a) principal: Guedes, Everaldo
• Data de Publicação: 2017
• Outros Autores: Dionisio, Andreia, Ferreira, Paulo, Zebende, Gilney
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10174/21369; https://doi.org/Guedes, E., Dionísio, A., Ferreira, P. Zebende, G. (2017). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, Physica A, 479:38-47. (dx.doi.org/10.1016/j.physa.2017.02.065); https://doi.org/dx.doi.org/10.1016/j.physa.2017.02.065
• topic: Financial Crisis; Eurozone; DCCA; Blue chips

In this paper we analyze the blue-chips (up to 50% of the total index) companies in the Eurozone. Our motivation being analysis of the effect of the 2008 financial crisis. For this purpose, we apply the DCCA cross-correlation coefficient (ρDCCA) between the country stock market index and their respective blue-chips. Then, with the cross-correlation coefficient, we qualify and quantify how each blue-chip is adherent to its country index, evaluating the type of cross-correlation among them. Subsequently, for each blue-chip, we propose to study the 2008 financial crisis by measuring the adherence between post and pre-crisis. From this analysis, we can construct an adhesion map of each company with respect to the global index. Our database is formed of 12 Eurozone countries