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

Detalhes bibliográficos
Autor(a) principal: Guedes, Everaldo
Data de Publicação: 2019
Outros Autores: Dionísio, 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/10174/26308
https://doi.org/Guedes, E., Ferreira, P., Dionísio, A. e Zebende, G. (2019). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, 479: 38-47. (doi.org/10.1016/j.physa.2017.02.065)
https://doi.org/doi.org/10.1016/j.physa.2017.02.065
Resumo: 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.
id RCAP_32684a5e7cc0a2a8f32d23aff1465f83
oai_identifier_str oai:dspace.uevora.pt:10174/26308
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the EurozoneFinancial CrisisEurozoneBlue-ChipsDCCAIn 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.Everaldo Guedes thanks the FAPESB (Fundação de Amparo à Pesquisa do Estado da Bahia) (Grant BOL 0976/2016) and Gilney Zebende thanks the CNPq (Conselho Nacional de Desenvolvimento Científico e Tecnológico) (Grant 309288/2013-4), Brazilian agencies. Paulo Ferreira and Andreia Dionísio are pleased to acknowledge financial support from Fundação para a Ciência e a Tecnologia (Grant UID/ECO/04007/2013) and FEDER/COMPETE (POCI-01-0145-FEDER-007659).Elsevier2020-01-07T11:25:37Z2020-01-072019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/26308https://doi.org/Guedes, E., Ferreira, P., Dionísio, A. e Zebende, G. (2019). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, 479: 38-47. (doi.org/10.1016/j.physa.2017.02.065)https://doi.org/doi.org/10.1016/j.physa.2017.02.065http://hdl.handle.net/10174/26308https://doi.org/doi.org/10.1016/j.physa.2017.02.065porefgestatistico@gmail.comandreia@uevora.ptpjsf@uevora.ptgfzebende@uefs.br256Guedes, EveraldoDionísio, AndreiaFerreira, PauloZebende, Gilneyinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:20:56Zoai:dspace.uevora.pt:10174/26308Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:16:38.438987Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
title DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
spellingShingle DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
Guedes, Everaldo
Financial Crisis
Eurozone
Blue-Chips
DCCA
title_short DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
title_full DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
title_fullStr DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
title_full_unstemmed DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
title_sort DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
author Guedes, Everaldo
author_facet Guedes, Everaldo
Dionísio, Andreia
Ferreira, Paulo
Zebende, Gilney
author_role author
author2 Dionísio, Andreia
Ferreira, Paulo
Zebende, Gilney
author2_role author
author
author
dc.contributor.author.fl_str_mv Guedes, Everaldo
Dionísio, Andreia
Ferreira, Paulo
Zebende, Gilney
dc.subject.por.fl_str_mv Financial Crisis
Eurozone
Blue-Chips
DCCA
topic Financial Crisis
Eurozone
Blue-Chips
DCCA
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-01-01T00:00:00Z
2020-01-07T11:25:37Z
2020-01-07
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/26308
https://doi.org/Guedes, E., Ferreira, P., Dionísio, A. e Zebende, G. (2019). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, 479: 38-47. (doi.org/10.1016/j.physa.2017.02.065)
https://doi.org/doi.org/10.1016/j.physa.2017.02.065
http://hdl.handle.net/10174/26308
https://doi.org/doi.org/10.1016/j.physa.2017.02.065
url http://hdl.handle.net/10174/26308
https://doi.org/Guedes, E., Ferreira, P., Dionísio, A. e Zebende, G. (2019). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, 479: 38-47. (doi.org/10.1016/j.physa.2017.02.065)
https://doi.org/doi.org/10.1016/j.physa.2017.02.065
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv efgestatistico@gmail.com
andreia@uevora.pt
pjsf@uevora.pt
gfzebende@uefs.br
256
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799136648793948160