A detrended cross correlation analysis for stock markets of the United States, Japan, and the Europe

被引：4
|
作者：
Ikeda, Taro [1 ]
机构：
[1] Kobe Univ, Grad Sch Econ, Nada Ku, 2-1 Rokko Dai, Kobe, Hyogo, Japan
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2017年 / 484卷
关键词：
Long range dependence; Stock price returns; Power-law distributions; VOLATILITY; RETURNS;
D O I：
10.1016/j.physa.2017.05.004
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper investigates the long range cross covariances among the stock price returns for the United States, Japan, and the Europe. Empirical results suggest that the stock price returns of these regions have cross covariances of slow moving fluctuations. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：194 / 198
页数：5
相关论文
共 50 条
  • [41] The battle over global drug markets: enforcement of pharmaceutical patents in the United States, Europe and Japan
    Helm, Katherine A.
    JOURNAL OF INTELLECTUAL PROPERTY LAW & PRACTICE, 2009, 4 (01) : 39 - 50
  • [42] Extended detrended cross-correlation analysis of electrocorticograms
    Koronovskii, A. A., Jr.
    Blokhina, I. A.
    Pavlova, O. N.
    Semyachkina-Glushkovskaya, O., V
    Pavlov, A. N.
    EUROPEAN PHYSICAL JOURNAL-SPECIAL TOPICS, 2023, 232 (05): : 605 - 608
  • [43] Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets
    Ma, Feng
    Zhang, Qian
    Chen, Peng
    Wei, Yu
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2014, 410 : 154 - 166
  • [44] Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
    Liu, Lu
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 33 : 39 - 48
  • [45] ANALYSIS OF THE DYNAMICS OF EUROPE STOCK MARKETS DEVELOPMENT
    Serhiienko, Olena
    Bril, Mykhailo
    Baranova, Valeria
    Tatar, Maryna
    Bilotserkivskyi, Oleksandr
    FINANCIAL AND CREDIT ACTIVITY-PROBLEMS OF THEORY AND PRACTICE, 2023, 4 (51): : 175 - 189
  • [46] Jensen-Detrended Cross-Correlation function for non-stationary time series with application to Latin American stock markets
    Contreras-Reyes, Javier E.
    Jeldes-Delgado, Fabiola
    Carrasco, Raul
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2024, 654
  • [47] Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets
    Zou, Shaohui
    Zhang, Tian
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 537 (537)
  • [48] A comparative analysis of layoff announcements and stock price reactions in the United States and Japan
    Lee, PM
    STRATEGIC MANAGEMENT JOURNAL, 1997, 18 (11) : 879 - 894
  • [49] Comparative analysis of layoff announcements and stock price reactions in the United States and Japan
    Emory Univ, Atlanta, United States
    Strategic Manage J, 11 (879-894):
  • [50] Multifractal Detrended Cross-Correlation Analysis of the Spot Markets of the International Crude Oil and US Dollar Index
    Zhang, Jing
    Wang, Hong-Yong
    INTERNATIONAL JOURNAL OF ECOLOGICAL ECONOMICS & STATISTICS, 2016, 37 (02) : 28 - 45
12345