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ρx,y between open-close stock markets

Author

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  • da Silva, L.S. Almeida
  • Guedes, E.F.
  • Ferreira, Paulo
  • Dionísio, Andreia
  • Zebende, G.F.

Abstract

In this paper we propose to study the auto and the cross-correlation between open-close stock market indexes. Our choice took into account the main indexes around the world: North America (Dow Jones and NASDAQ — USA; IPC — MEXICO), South America (BOVESPA — Brazil; MERVAL — Argentina), Asia (Nikkei_225 — Japan; SSE — China; Hang Seng — Hong Kong), Europe (IBEX_35 — Spain; CAC_40 — French; DAX — German; FTSE_100 — England). Thus, for the opening and closing stock market index and its respective return, we applied the DFA method for measuring auto-correlation, as well as, the cross-correlation between these signals with DCCA cross-correlation coefficient. Our results show that for auto-correlation there is long-range (power-law) auto-correlations with: αDFA>1.0 for the original index and αDFA≃0.5 for the return. For cross-correlations we found perfect DCCA cross-correlation between open and close indexes at long time-scale, but in short time-scale there are differences between the stock markets. From the point of view of the return, DCCA cross-correlation coefficient between open and close values showing lower DCCA cross-correlation levels. In this case the open returns are not related with the close returns, evidencing the time independence of these observations in this time-scale, for some stock markets.

Suggested Citation

  • da Silva, L.S. Almeida & Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "ρx,y between open-close stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    • Handle: RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931249x
    DOI: 10.1016/j.physa.2019.122152
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