Increasing market efficiency: Evolution of cross-correlations of stock returns
arXiv:physics/0506071 · doi:10.1016/j.physa.2005.06.058
Abstract
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origin while these peaks become sharper and higher, resulting in a diminution of the Epps effect. All these findings indicate that the market becomes increasingly efficient.
arXiv comment12 pages, 8 figures, accepted to Physica A
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