We analyse the temporal changes in the cross correlations of returns on the
New York Stock Exchange. We show that lead-lag relationships between daily
returns of stocks vanished in less than twenty years. We have found that even
for high frequency data the asymmetry of time dependent cross-correlation
functions has a decreasing tendency, the position of their peaks are shifted
towards the origin while these peaks become sharper and higher, resulting in a
diminution of the Epps effect. All these findings indicate that the market
becomes increasingly efficient.Comment: 12 pages, 8 figures, accepted to Physica