Epps effect
id:
epps-effect-324-9259939
title:
Epps effect
text:
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns of two different stocks decreases with the length of the interval for which the price changes are measured. The phenomenon is caused by non-synchronous/asynchronous trading and discretization effects. Another study suggests that the effect also originates in investors' herd behaviour.
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Epps_effect
date created:
date modified:
2023-01-24T11:49:23Z
main entity:
{"identifier":"Q5383917","url":"https://www.wikidata.org/entity/Q5383917"}
image:
fields total:
13
integrity:
13