Long-range power-law correlations in stock returns
نویسنده
چکیده
This study investigates long-range power-law correlations in US, UK, Japanese, German, French and Spanish stock markets using daily data and applying a recently developed residual analysis termed detrended /uctuation analysis (DFA). We quantify correlations for the returns, absolute value of returns and square of returns. The results show that there is little evidence of long-range correlations in returns but there is strong evidence of long-range correlation in absolute and squared returns. For the absolute returns, a cross-over of approximately 41 days is found. c © 2001 Elsevier Science B.V. All rights reserved. PACS: 02.50.Ey; 05.45.Tp
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