Physics – Physics and Society
Scientific paper
2005-06-08
Physica A 360, 505-515 (2006)
Physics
Physics and Society
12 pages, 8 figures, accepted to Physica A
Scientific paper
10.1016/j.physa.2005.06.058
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origin while these peaks become sharper and higher, resulting in a diminution of the Epps effect. All these findings indicate that the market becomes increasingly efficient.
Kertesz Janos
Toth Bence
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