To lag or not to lag? How to compare indices of stock markets that operate on different times

Physica A: Statistical Mechanics and its Applications

Volumn 403, Issue , 2014, Pages 227-243

  Sandoval Jr , Leonidas ^a  

^a INSPER INSTITUTE OF EDUCATION AND RESEARCH   (Brazil)

Author keywords

Correlation; Financial markets; Lagging; Operation hours

Indexed keywords

COMMERCE; CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS;

CORRELATION MATRIX; CORRELATION STRUCTURE; EIGENVALUES AND EIGENVECTORS; LAGGING; NETWORK STRUCTURES; OPERATION HOURS; STOCK EXCHANGE; STOCK MARKET INDEX;

FINANCIAL MARKETS;

EID: 84897756318     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.02.039     Document Type: Article

References (70)

1. C.S. Eum, and S. Shim International transmission of stock market movements J. Finan. Quant. Anal. 24 1989 241 256
2. K.G. Becker, J.E. Finnerty, and M. Gupta The intertemporal relation between the US and Japanese stock markets J. Finance 45 1990 1297 1306
3. W.L. Lin, R.F. Engle, and T. Ito Do bulls and bears move across borders? International transmission of stock returns and volatility Rev. Financ. Stud. 7 1994 507 538
4. T.J. Brailsford Volatility spillovers across the Tasman Aust. J. Manag. 21 1996 13 27
5. G. Bonanno, N. Vanderwalle, and R.N. Mantegna Taxonomy of stock market indices Phys. Rev. E 62 2000 R7615 R7618
6. G.M. Mian, and C.M. Adam Does more market-wide information originate while an exchange is open: some anomalous evidence from the ASX Aust. J. Manage. 25 2000 339 352 (Pubitemid 33269713)
7. N. Vandewalle, Ph. Boveroux, and F. Brisbois Domino effect for world market fluctuations Eur. Phys. J. B 15 2000 547 549
8. Drozdz, Grümmer, Ruf, and Speth Towards identifying the world stock market cross-correlations: DAX versus Dow Jones Physica A 294 2001 226 234 (Pubitemid 32446713)
9. S. Maslov Measures of globalization based on cross-correlations of world financial indices Physica A 301 2001 397 406 (Pubitemid 33089174)
10. K.B.K. Mayya, R.E. Amritkar, Analysis of delay correlation matrices, in: Proceedings of the Third National Conference on Nonlinear Systems and Dynamics, 2006, p. 183. E-print cond-mat/0601279.
11. J. Kwapień, S. Drozdz, A.Z. Górski, and P. Oświȩcimka Asymmetric matrices in an analysis of financial correlations Acta Phys. Pol. B 37 2006 3039 3048 (Pubitemid 44922452)
12. D.-M. Song, M. Tumminello, W.-X. Zhou, and R.N. Mantegna Evolution of worldwide stock markets, correlation structure, and correlation-based graphs Phys. Rev. E 84 2011 026108
13. G. Livan, and L. Rebecchi Asymmetric correlation matrices: an analysis of financial data Eur. Phys. J. B 85 2012 213
14. A. Nobi, S.E. Maeng, G.G. Ha, J.W. Lee, Random Matrix Theory on cross-correlations in global financial indices and local stock market indices, 2013. arXiv:1302.6305v1.
15. F. Li Identifying asymmetric comovements of international stock market returns J. Financ. Econ. 2013 (online), first published online in June 7
16. A. Lo, and A.C. MacKinlay An econometric analysis of nonsynchronous trading J. Econometrics 45 1990 181 211 Elsevier
17. F. de Jong, and T. Nijman High frequency analysis of lead-lag relationships between financial markets J. Empir. Finance 4 1997 259 277 (Pubitemid 127166634)
18. M.C. Münnix, R. Schäfer, and T. Guhr Compensating asynchrony effects in the calculation of financial correlations Physica A 389 2010 767 779
19. Z. Zheng, K. Yamasaki, Hierarchical structure and time-lag correlation in worldwide financial markets, 2012. arXiv:1205.1861v1.
20. N. Huth, and F. Abergel High frequency lead/lag relationships - empirical facts arXiv:1111.7103
21. T. Hayashi, and N. Yashida On covariance estimation of non-synchronously observed diffusion processes Bernoulli 11 2005 359 379 (Pubitemid 44947993)
22. B. Goswamia, G. Ambikaa, N. Marwanb, J. Kurths, On interrelations of recurrences and connectivity trends between stock indices, 2011. arXiv:1103.5189v1.
23. N. Marwan, M.C. Romano, M. Thiel, and J. Kurths Recurrence plots for the analysis of complex systems Phys. Rep. 438 2007 237 329
24. M.C. Romano, M. Thiel, J. Kurths, I.Z. Kiss, and J.L. Hudson Detection of synchronization for non-phase-coherent and non-stationary data Europhys. Lett. 71 2005 466 472 (Pubitemid 41111354)
25. J.A. Bastos, J. Caiado, Recurrence quantification analysis of global stock markets, 2010, in http://cibs.ck.ua/files/scipub/piskun01.pdf.
26. S. Kumar, N. Deo, Correlation, network and multifractal analysis of global financial indices, 2012. arXiv:1202.0409v1.
27. M.L. Mehta Random Matrices 2004 Academic Press
28. J.W. Kantelhardt, S.A. Zschiegner, E. Koscielny-Bunde, S. Havlin, A. Bunde, and H.E. Stanley Multifractal detrended fluctuation analysis of nonstationary time series Physica A 316 2002 87 114 (Pubitemid 35385237)
29. D.Y. Kenett, Y. Shapira, and E. Ben-Jacob RMT assessments of the market latent information embedded in the stocks' raw, normalized, and partial correlations J. Probab. Stat. 2009 1 13 Article ID 249370
30. D.Y. Kenett, M. Raddant, T. Lux, and E. Ben-Jacob Evolvement of uniformity and volatility in the stressed global financial village PLoS One 7 2 2012 e31144
31. D.Y. Kenett, M. Raddant, L. Zatlavi, T. Lux, and E. Ben-Jacob Correlations in the global financial village Int. J. Mod. Phys. Conf. Ser. 16 1 2012 13 28
32. D.Y. Kenett, T. Preis, G. Gur-Gershgoren, and E. Ben-Jacob Dependency network and node influence: application to the study of financial markets Int. J. Bifurcation Chaos 22 7 2012 1250181
33. L. Sandoval Jr., and I.De P. Franca Correlation of financial markets in times of crisis Physica A 391 2012 187 208
34. L. Sandoval Jr. Pruning a minimum spanning tree Physica A 391 2012 2678 2711
35. L. Sandoval Jr. Cluster formation and evolution in networks of financial market indices Algorithmic Finance 2 2013 3 43
36. V.A. Marěnko, and L.A. Pastur USSR-Sb 1 1967 457 483
37. G. Biroli, J.-P. Bouchaud, and M. Potters The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy Acta Phys. Pol. B 13 2007 4009 4026 (Pubitemid 351154278)
38. L. Sandoval Jr., A. Bruscato, and M.K. Venezuela Building portfolios of stocks in the São Paulo stock exchange using random matrix theory arXiv:1201.0625
39. T.J. Flavin, M.J. Hurley, and F. Rousseau Explaining stock market correlation: a gravity model approach Manchester Sch. 70 2002 87 106 (Pubitemid 40816748)
40. R.N. Mantegna Hierarchical structure in financial markets Eur. Phys. J. B 11 1999 193
41. G. Bonanno, F. Lillo, and R.N. Mantegna High-frequency cross-correlation in a set of stocks Quant. Finance 1 2001 96 104
42. S. Micchichè, G. Bonanno, F. Lillo, and R.N. Mantegna Degree stability of a minimum spanning tree of price return and volatility Physica A 324 2003 66 73
43. G. Bonanno, G. Caldarelli, F. Lillo, S. Miccichè, N. Vandewalle, and R.N. Mantegna Networks of equities in financial markets Eur. Phys. J. B 38 2004 363 371
44. R. Coelho, C.G. Gilmore, B. Lucey, P. Richmond, and S. Hutzler The evolution of interdependence in world equity markets - evidence from minimum spanning trees Physica A 376 2007 455 466 (Pubitemid 46080600)
45. C. Borghesi, M. Marsili, and S. Miccichè Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode Phys. Rev. E 76 2007 026104
46. J.G. Brida, and W.A. Risso Multidimensional minimal spanning tree: the Dow Jones case Physica A 387 2008 5205 5210
47. J. Kwapień, S. Gworek, S. Drozdz, and A. Górski Analysis of a network structure of the foreign currency exchange market J. Econ. Interact. Coord. 4 2009 55 72
48. J. Kwapień, S. Gworek, and S. Drozdz Structure and evolution of the foreign exchange networks Acta Phys. Pol. B 40 2009 175 194
49. S. Drozdz, J. Kwapień, and J. Speth Coherent patterns in nuclei and in financial markets AIP Conf. Proc. 1261 2010 256 264
50. Y. Zhanga, G.H.T. Leea, J.C. Wonga, J.L. Kokb, M. Prustyb, and S.A. Cheong Will the US Economy Recover in 2010? A minimal spanning tree study Physica A 390 2011 2020 2050 2010
51. M. Keskin, B. Deviren, and Y. Kocalkaplan Topology of the correlation networks among major currencies using hierarchical structure methods Physica A 390 2011 719 730
52. M. Tumminello, T. Aste, T. Di Matteo, and R.N. Mantegna A tool for filtering information in complex systems Proc. Natl. Acad. Sci. USA 102 2005 10421 10426 (Pubitemid 41065095)
53. C. Coronnello, M. Tumminello, F. Lillo, S. Micchichè, and R.N. Mantegna Sector identification in a set of stock return time series traded at the London Stock Exchange Acta Phys. Polon. B 36 2005 2653 2679
54. T. Aste, and T. Di Matteo Correlation filtering in financial time series Noise and Fluctuations in Econophysics and Finance Proceedings of the SPIE vol. 5848 2005 100 109 (Pubitemid 41736829)
55. M. Tumminello, T. Di Matteo, T. Aste, and R.N. Mantegna Correlation based networks of equity returns sampled at different time horizons Eur. Phys. J. B 55 2007 209 217 (Pubitemid 46325955)
56. C. Coronnello, M. Tumminello, F. Lillo, S. Micchichè, and R.N. Mantegna Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis Proc. SPIE 6601 2007 66010T
57. M. Tumminello, F. Lillo, and R.N. Mantegna Correlation, hierarchies, and networks in financial markets J. Econ. Behav. Organ. 75 2010 40 58
58. D.Y. Kenett, M. Tumminello, A. Madi, G. Gur-Gershgoren, R.N. Mantegna, and E. Ben-Jacob Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market PLoS One 5 12 2010 e15032
59. J.-P. Onnela, A. Chakraborti, K. Kaski, and J. Kertész Dynamic asset trees and portfolio analysis Eur. Phys. J. B 30 2002 285 288 (Pubitemid 135695537)
60. J.-P. Onnela, A. Chakraborti, and K. Kaski Dynamics of market correlations: taxonomy and portfolio analysis Phys. Rev. E 68 2003 1 12
61. J.-P. Onnela, A. Chakraborti, K. Kaski, and J. Kertész Dynamic asset trees and Black Monday Physica A 324 2003 247 252
62. J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, and A. Kanto Asset trees and asset graphs in financial markets Phys. Scr. T 106 2003 48 54
63. J.-P. Onnela, K. Kaski, and J. Kertész Clustering and information in correlation based financial networks Eur. Phys. J. B 38 2004 353 362
64. S. Sinha, and R.K. Pan Uncovering the internal structure of the Indian financial market: cross-correlation behavior in the NSE Econophysics of Markets and Business Networks 2007 Springer 215 226
65. M. Ausloos, and R. Lambiotte Clusters or networks of economies? A macroeconomy study through gross domestic product Physica A 382 2007 16 21 (Pubitemid 46863399)
66. L. Sandoval Jr. A map of the Brazilian stock market Adv. Complex Syst. 15 2012 1250042 1250082
67. M. EryiÇit, and R. EryiÇit Network structure of cross-correlations among the world market indices Physica A 388 2009 3551 3562
68. I. Borg, and P. Groenen Modern Multidimensional Scaling: Theory and Applications second ed. 2005 Springer-Verlag
69. C. Upper Simulation methods to assess the danger of contagion in interbank markets J. Financ. Stab. 7 2011 111 125
70. M.E.J. Newman Networks, and Introduction 2010 Oxford University Press