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http://hdl.handle.net/10174/21369
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| Title: | DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone |
| Authors: | Guedes, Everaldo
Dionisio, Andreia
Ferreira, Paulo
Zebende, Gilney |
| Keywords: | Financial Crisis
Eurozone
DCCA
Blue chips |
| Issue Date: | 2017 |
| Publisher: | Elsevier |
| Citation: | Guedes, E., Dionísio, A., Ferreira, P. Zebende, G. (2017). “DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone”. Physica A: Statistical Mechanics and its Applications, Physica A, 479:38-47. (dx.doi.org/10.1016/j.physa.2017.02.065) |
| Abstract: | In this paper we analyze the blue-chips (up to 50% of the total index) companies in the
Eurozone. Our motivation being analysis of the effect of the 2008 financial crisis. For this
purpose, we apply the DCCA cross-correlation coefficient (ρDCCA) between the country stock
market index and their respective blue-chips. Then, with the cross-correlation coefficient,
we qualify and quantify how each blue-chip is adherent to its country index, evaluating
the type of cross-correlation among them. Subsequently, for each blue-chip, we propose
to study the 2008 financial crisis by measuring the adherence between post and pre-crisis.
From this analysis, we can construct an adhesion map of each company with respect to the
global index. Our database is formed of 12 Eurozone countries |
| URI: | dx.doi.org/10.1016/j.physa.2017.02.065
http://hdl.handle.net/10174/21369 |
| Type: | article |
| Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica /
