G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?

Detalhes bibliográficos
Autor(a) principal: Ferreira, Paulo
Data de Publicação: 2016
Outros Autores: Dionisio, Andreia
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/19115
Resumo: Following the methodology of Ferreira and Dionísio (2016), the objective of this paper is to analyze the behavior stock markets in the G7 countries and find which of those countries is the first to reach levels of long-range correlations that are not significant. We carry out this analysis using detrended cross-correlation analysis and its correlation coefficient, to check for the existence of long-range dependence in time series. The existence of long-range dependence could be understood as a possibility of EMH violation. This analysis remains interesting because studies are not conclusive about the existence or not of long memory in stock return rates.
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spelling G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?DCCAG7 Stock MarketsFollowing the methodology of Ferreira and Dionísio (2016), the objective of this paper is to analyze the behavior stock markets in the G7 countries and find which of those countries is the first to reach levels of long-range correlations that are not significant. We carry out this analysis using detrended cross-correlation analysis and its correlation coefficient, to check for the existence of long-range dependence in time series. The existence of long-range dependence could be understood as a possibility of EMH violation. This analysis remains interesting because studies are not conclusive about the existence or not of long memory in stock return rates.DKTUR2016-11-15T18:15:34Z2016-11-152016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/19115http://hdl.handle.net/10174/19115porFerreira, P., Dionísio, A. 2016. G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?, Review of Socio-Economic Perspectives, 1(1): 107-120http://reviewsep.com/my_documents/my_files/S1/15_Paulo%20Ferreira%20and%20Andreia%20Dionisio_METIN.pdfpjsf@uevora.ptandreia@uevora.pt637Ferreira, PauloDionisio, Andreiainfo: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:RCAAP2024-01-03T19:08:08Zoai:dspace.uevora.pt:10174/19115Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:10:57.127249Repositório 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 G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
title G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
spellingShingle G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
Ferreira, Paulo
DCCA
G7 Stock Markets
title_short G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
title_full G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
title_fullStr G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
title_full_unstemmed G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
title_sort G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?
author Ferreira, Paulo
author_facet Ferreira, Paulo
Dionisio, Andreia
author_role author
author2 Dionisio, Andreia
author2_role author
dc.contributor.author.fl_str_mv Ferreira, Paulo
Dionisio, Andreia
dc.subject.por.fl_str_mv DCCA
G7 Stock Markets
topic DCCA
G7 Stock Markets
description Following the methodology of Ferreira and Dionísio (2016), the objective of this paper is to analyze the behavior stock markets in the G7 countries and find which of those countries is the first to reach levels of long-range correlations that are not significant. We carry out this analysis using detrended cross-correlation analysis and its correlation coefficient, to check for the existence of long-range dependence in time series. The existence of long-range dependence could be understood as a possibility of EMH violation. This analysis remains interesting because studies are not conclusive about the existence or not of long memory in stock return rates.
publishDate 2016
dc.date.none.fl_str_mv 2016-11-15T18:15:34Z
2016-11-15
2016-01-01T00:00:00Z
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/10174/19115
http://hdl.handle.net/10174/19115
url http://hdl.handle.net/10174/19115
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Ferreira, P., Dionísio, A. 2016. G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?, Review of Socio-Economic Perspectives, 1(1): 107-120
http://reviewsep.com/my_documents/my_files/S1/15_Paulo%20Ferreira%20and%20Andreia%20Dionisio_METIN.pdf
pjsf@uevora.pt
andreia@uevora.pt
637
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv DKTUR
publisher.none.fl_str_mv DKTUR
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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)
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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
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