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

Página do item simplificado
dc.contributor.authorSandoval Junior, Leonidas
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorSandoval Junior, Leonidas
dc.date.accessioned2023-07-25T18:29:47Z
dc.date.available2023-07-25T18:29:47Z
dc.date.issued2013
dc.description.abstractFinancial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes is that we should consider both. In this work, we use 79 indices of a diversity of stock markets across the world in order to study their correlation structure, and discover that representing in the same network original and lagged indices, we obtain a better understanding of how indices that operate at different hours relate to each other.
dc.description.otherFinancial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes is that we should consider both. In this work, we use 79 indices of a diversity of stock markets across the world in order to study their correlation structure, and discover that representing in the same network original and lagged indices, we obtain a better understanding of how indices that operate at different hours relate to each other.pt_BR
dc.format.extent22 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 195/2013
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5957
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.titleTo lag or not to lag? How to compare indices of stock markets that operate at different timespt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

Arquivos

Pacote original

Agora exibindo 1 - 1 de 1
N/D
Nome:
BEWP_195_2013_To_lag_or_not_to_lag_how_to_compare_indices_of_stock_markets_that_operate_at_different_times_TC.pdf
Tamanho:
1.16 MB
Formato:
Adobe Portable Document Format
Baixar

Coleções

Coleção Insper Business and Economics Working Papers