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Title: DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone
Authors: Guedes, Everaldo
Dionisio, Andreia
Ferreira, Paulo
Zebende, Gilney
Keywords: Financial Crisis
Blue chips
Issue Date: 2017
Publisher: Elsevier
Citation: Guedes, E., Dionísio, A., Ferreira, P. Zebende, G. (2017). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, Physica A, 479:38-47. (
Abstract: In this paper we analyze the blue-chips (up to 50% of the total index) companies in the Eurozone. Our motivation being analysis of the effect of the 2008 financial crisis. For this purpose, we apply the DCCA cross-correlation coefficient (ρDCCA) between the country stock market index and their respective blue-chips. Then, with the cross-correlation coefficient, we qualify and quantify how each blue-chip is adherent to its country index, evaluating the type of cross-correlation among them. Subsequently, for each blue-chip, we propose to study the 2008 financial crisis by measuring the adherence between post and pre-crisis. From this analysis, we can construct an adhesion map of each company with respect to the global index. Our database is formed of 12 Eurozone countries
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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