Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

Details Towards identifying the world stock market cross-correlations: DAX versus Dow Jones Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

2000-11-29

arxiv.org/abs/cond-mat/0011488v1

Physica A294 (2001), 226

Physics

Condensed Matter

Statistical Mechanics

LaTeX, 6 pages, 8 figures

Scientific paper

10.1016/S0378-4371(01)00119-4

Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during the years 1990-1999. The time-dependence of the underlying cross-correlations is monitored using a time window of 60 trading days. Our study shows that if the time-zone delays are properly accounted for the two distant markets largely merge into one. This effect is particularly visible during the last few years. It is however the Dow Jones which dictates the trend.

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