Long-range correlations for stock indexes

Abstract

We apply several tests to analyze the existence of long-term dependence in 10 Euro-pean stock indexes. After a filtering process, results point to the absence of linear autocorrelation. However, with other tests, we found non-linear serial dependences that affect return rates. Results of mutual information and global correlation confirm these results and Lyapunov point to the existence of deterministic behavior in all time series. With DFA, we found that most return rate series have long-range dependence, more pronounced in Spain, Greece and Portugal. These results could constitute an indicator of the effiency level of the sotock markets under analysis.