Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/19115
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| Title: | G7 Stock Markets: Who is The First to Defeat The DCCA Correlation? |
| Authors: | Ferreira, Paulo
Dionisio, Andreia |
| Keywords: | DCCA
G7 Stock Markets |
| Issue Date: | 2016 |
| Publisher: | DKTUR |
| Citation: | 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 |
| Abstract: | 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. |
| URI: | http://reviewsep.com/my_documents/my_files/S1/15_Paulo%20Ferreira%20and%20Andreia%20Dionisio_METIN.pdf
http://hdl.handle.net/10174/19115 |
| Type: | article |
| Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica /
