The behaviour of share returns of football clubs: An econophysics approach

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• 作者：Paulo Ferreira^a ; ^b ; ^c ; ^{pjsf@uevora.pt} ; Luí ; s Loures^d ; ^b ; ^{lcloures@esaelvas.pt} ; José ; Rato Nunes^b ; ^e ; ^{ratonunes@esaelvas.pt} ; Andreia Dioní ; sio^a ; ^{andreia@uevora.pt}
• 关键词：Detrended Fluctuation Analysis ; Detrended Cross-Correlation Analysis ; Correlation coefficient ; Stoxx Football Index ; National indexes
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 April 2017
• 年：2017
• 卷：472
• 期：Complete
• 页码：136-144
• 全文大小：1189 K
• 卷排序：472

文摘

We apply DFA and DCCA’s correlation coefficient to European football stocks. We show that most clubs have an evidence of dependence in their returns. Clubs’ returns are positively correlated with almost all national indexes. Correlations between clubs’ returns and national indexes are weak.