In this paper the algorithm for ΔρDCCA statistical test (Guedes et al., 2018) [1] is presented. Our test begins with the simulation of four time series pairs, by an ARFIMA process. These time series has N=250, 500, 1000, and 2000 points, see Guedes et al. (2018) [1]. The probability distribution function (PDF) is made available for all 10,000 samples, that start from the original time series, in supplementary material.
h i g h l i g h t s• We analyze by DCCA cross-correlation coefficient the blue-chips companies in the Eurozone.• With the DCCA coefficient, we qualify and quantify how each blue-chip is adherent to its country index.• From this analysis, we can construct an adhesion map of each company with respect to the global index. In this paper we analyze the blue-chips (up to 50% of the total index) companies in the Eurozone. Our motivation being analysis of the effect of the 2008 financial crisis. For this purpose, we apply the DCCA cross-correlation coefficient (ρ DCCA ) between the country stock market index and their respective blue-chips. Then, with the cross-correlation coefficient, we qualify and quantify how each blue-chip is adherent to its country index, evaluating the type of cross-correlation among them. Subsequently, for each blue-chip, we propose to study the 2008 financial crisis by measuring the adherence between post and pre-crisis. From this analysis, we can construct an adhesion map of each company with respect to the global index. Our database is formed of 12 Eurozone countries.
h i g h l i g h t s • The BREXIT referendum is study by DFA method for the Euro zone. • In general, the referendum did not change efficiency levels significantly. • We also calculated the ∆ρ DCCA coefficient, and our results point to ∆ρ DCCA < 0. • This meaning that the UK is more segmented now than in the past.
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