Epps effect

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[1] and discretization effects.[2] Another study suggests that the effect also originates in investors' herd behaviour.[3]

References

Epps, T.W. (1979) Comovements in Stock Prices in the Very Short Run, Journal of the American Statistical Association, 74, 291–298. jstor
M. C. Münnix et al (2010) Impact of the tick-size on financial returns and correlations, Physica A, 389 (21) 4828–4843. arxiv
http://iopscience.iop.org/1367-2630/16/5/053040 - Modelling the short term herding behaviour of stock markets

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[1] Epps, T.W. (1979) Comovements in Stock Prices in the Very Short Run, Journal of the American Statistical Association, 74, 291–298. jstor

[2] M. C. Münnix et al (2010) Impact of the tick-size on financial returns and correlations, Physica A, 389 (21) 4828–4843. arxiv

[3] ttp://iopscience.iop.org/1367-2630/16/5/053040 - Modelling the short term herding behaviour of stock markets