Abstract
We study the returns of stock prices and show that in the context of data from Bombay stock exchange there are groups of stocks that remain moderately correlated for up to 3 days. We use the delay correlations to identify these groups of stocks. In contrast to the results of same-time correlation matrix analysis, the groups in this case do not appear to come from any industry segments. We present our results using the closing prices of 326 significant stocks of Bombay stock exchange for the period 1995 to 2005.
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© 2007 Springer-Verlag Italia
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Mayya, K.B.K., Santhanam, M.S. (2007). Correlations, Delays and Financial Time Series. In: Chatterjee, A., Chakrabarti, B.K. (eds) Econophysics of Markets and Business Networks. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-0665-2_5
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DOI: https://doi.org/10.1007/978-88-470-0665-2_5
Publisher Name: Springer, Milano
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