Volatility Co-Movement in Stock Markets
The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to...
| Main Authors: | , , , , |
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| 格式: | info:eu-repo/semantics/article |
| 语言: | English |
| 出版: |
MDPI
2021
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| 主题: | |
| 在线阅读: | http://hdl.handle.net/10835/10250 https://doi.org/10.3390/math9060598 |
| _version_ | 1789406526019993600 |
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| author | López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las |
| author_facet | López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las |
| author_sort | López García, María Nieves |
| collection | DSpace |
| description | The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatility or price. The function is calculated using the product of the variations in volatility (or price) of a pair of stocks, averaged over all pair particles. In addition to the global volatility co-movement, its distribution according to the volatility of the stocks is also studied. We find that stocks with similar volatility tend to have a greater co-movement than stocks with dissimilar volatility, with a general decrease in co-movement with increasing volatility. On the other hand, when the average volatility (or log-price) is subtracted from the stock volatility (or log-price), the co-movement decreases notably and becomes almost zero. This result, interpreted within the background of many body physics, allows us to identify the index motion as the main source for the co-movement. Finally, we confirm that during crisis periods, the volatility and log-price co-movement are much higher than in calmer periods. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-10250 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2021 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-102502023-04-12T19:07:52Z Volatility Co-Movement in Stock Markets López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las co-movement volatility econophysics stock market The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatility or price. The function is calculated using the product of the variations in volatility (or price) of a pair of stocks, averaged over all pair particles. In addition to the global volatility co-movement, its distribution according to the volatility of the stocks is also studied. We find that stocks with similar volatility tend to have a greater co-movement than stocks with dissimilar volatility, with a general decrease in co-movement with increasing volatility. On the other hand, when the average volatility (or log-price) is subtracted from the stock volatility (or log-price), the co-movement decreases notably and becomes almost zero. This result, interpreted within the background of many body physics, allows us to identify the index motion as the main source for the co-movement. Finally, we confirm that during crisis periods, the volatility and log-price co-movement are much higher than in calmer periods. 2021-03-15T09:07:33Z 2021-03-15T09:07:33Z 2021-03-11 info:eu-repo/semantics/article 2227-7390 http://hdl.handle.net/10835/10250 https://doi.org/10.3390/math9060598 en https://www.mdpi.com/2227-7390/9/6/598 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess MDPI |
| spellingShingle | co-movement volatility econophysics stock market López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las Volatility Co-Movement in Stock Markets |
| title | Volatility Co-Movement in Stock Markets |
| title_full | Volatility Co-Movement in Stock Markets |
| title_fullStr | Volatility Co-Movement in Stock Markets |
| title_full_unstemmed | Volatility Co-Movement in Stock Markets |
| title_short | Volatility Co-Movement in Stock Markets |
| title_sort | volatility co-movement in stock markets |
| topic | co-movement volatility econophysics stock market |
| url | http://hdl.handle.net/10835/10250 https://doi.org/10.3390/math9060598 |
| work_keys_str_mv | AT lopezgarciamarianieves volatilitycomovementinstockmarkets AT sanchezgraneromiguelangel volatilitycomovementinstockmarkets AT trinidadsegoviajuanevangelista volatilitycomovementinstockmarkets AT puertaslopezantoniomanuel volatilitycomovementinstockmarkets AT nieveslopezfranciscojavierdelas volatilitycomovementinstockmarkets |