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 as the sampling frequency of data increases. The phenomenon is caused by non-synchronous/asynchronous trading and discretization effects. However, a current study shows that the effect originates in investors' herd behaviour.
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Epps effect Wikipedia(Text) CC BY-SA