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Title: Long-range correlations for stock indexes
Authors: Ferreira, Paulo
Dionísio, Andreia
Editors: Dionísio, Andreia
Heitor Reis, António
Coelho, Luís
Ferreira, Paulo
Namorado Rosa, Rui
Keywords: Non-linear dependence
Stcok markets
Mutual Information
Issue Date: 2010
Publisher: Universidade de Évora
Citation: Ferreira, P., Dionísio, A. (2010) “Long-Range Correlations for Stock Indexes”, Proceedings of the Workshop Perspectives on Econophysics II, Universidade de Évora, Novembro de 2010.
Abstract: We apply several tests to analyze the existence of long-term dependence in 10 Euro-pean stock indexes. After a filtering process, results point to the absence of linear autocorrelation. However, with other tests, we found non-linear serial dependences that affect return rates. Results of mutual information and global correlation confirm these results and Lyapunov point to the existence of deterministic behavior in all time series. With DFA, we found that most return rate series have long-range dependence, more pronounced in Spain, Greece and Portugal. These results could constitute an indicator of the effiency level of the sotock markets under analysis.
ISBN: M-47478-2010
Type: article
Appears in Collections:CEFAGE - Artigos em Livros de Actas/Proceedings

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