Affordable Access

deepdyve-link deepdyve-link
Publisher Website

Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

Authors
Type
Published Article
Publication Date
Submission Date
Identifiers
DOI: 10.1016/S0378-4371(01)00119-4
arXiv ID: cond-mat/0011488
Source
arXiv
License
Unknown
External links

Abstract

Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during the years 1990-1999. The time-dependence of the underlying cross-correlations is monitored using a time window of 60 trading days. Our study shows that if the time-zone delays are properly accounted for the two distant markets largely merge into one. This effect is particularly visible during the last few years. It is however the Dow Jones which dictates the trend.

Statistics

Seen <100 times