Volltext herunterladen
(291.3 KB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221396
Export für Ihre Literaturverwaltung
The Epps effect revisited
[Zeitschriftenartikel]
Abstract We analyse the dependence of stock return cross-correlations on the
sampling frequency of the data known as the Epps effect: For high
resolution data the cross-correlations are significantly smaller than
their asymptotic value as observed on daily data. The former
description implies that changing t... mehr
We analyse the dependence of stock return cross-correlations on the
sampling frequency of the data known as the Epps effect: For high
resolution data the cross-correlations are significantly smaller than
their asymptotic value as observed on daily data. The former
description implies that changing trading frequency should alter the
characteristic time of the phenomenon. This is not true for the
empirical data: The Epps curves do not scale with market activity. The
latter result indicates that the time scale of the phenomenon is
connected to the reaction time of market participants (this we denote
as human time scale), independent of market activity. In this paper
we give a new description of the Epps effect through the decomposition
of cross-correlations. After testing our method on a model of
generated random walk price changes we justify our analytical results
by fitting the Epps curves of real world data.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter
Correlation; Market microstructure; Econophysics; Behavioural finance; Market efficiency
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 793-802
Zeitschriftentitel
Quantitative Finance, 9 (2009) 7
DOI
https://doi.org/10.1080/14697680802595668
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)