Increasing market efficiency: Evolution of cross-correlations of stock returns
✍ Scribed by Bence Tóth; János Kertész
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 229 KB
- Volume
- 360
- Category
- Article
- ISSN
- 0378-4371
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📜 SIMILAR VOLUMES
Co-movements of stock price uctuations are described by the cross-correlation matrix C. The application of random matrix theory (RMT) allows to distinguish between spurious correlations in C due to measurement noise and true correlations containing economically meaningful information. By calculating
## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and