DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
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. |
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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799136648793948160 |