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Published in:
2018 | OriginalPaper | Chapter
Persistent Correlations in Major Indices of the World Stock Markets
Authors : Maciej Janowicz, Leszek J. Chmielewski, Joanna Kaleta, Luiza Ochnio, Arkadiusz Orłowski, Andrzej Zembrzuski
Published in: Complex Systems: Solutions and Challenges in Economics, Management and Engineering
Publisher: Springer International Publishing
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Abstract
Time-dependent cross-correlation functions have been calculated between returns of the major indices of the world stock markets. One-, two-, and three-day shifts have been considered. Surprisingly high and persistent-in-time correlations have been found among some of the indices. Part of those correlations can attributed to the geographical factors, for instance, strong correlations between two major Japanese indices have been observed. The reason for other, somewhat exotic correlations, appear to be as much accidental as it is apparent. It seems that the observed correlations may be of practical value in the stock market speculations.