Persistent Correlations in Major Indices of the World Stock Markets

  • Maciej Janowicz
  • Leszek J. Chmielewski
  • Joanna Kaleta
  • Luiza Ochnio
  • Arkadiusz Orłowski
  • Andrzej Zembrzuski
Chapter
Part of the Studies in Systems, Decision and Control book series (SSDC, volume 125)

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.

Keywords

Stock market indices Correlation functions Pearson correlation Technical analysis 

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  • Maciej Janowicz
    • 1
  • Leszek J. Chmielewski
    • 1
  • Joanna Kaleta
    • 1
  • Luiza Ochnio
    • 1
  • Arkadiusz Orłowski
    • 1
  • Andrzej Zembrzuski
    • 1
  1. 1.Faculty of Applied Informatics and Mathematics – WZIMWarsaw University of Life Sciences – SGGWWarsawPoland

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