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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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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