A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics
One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks...
| Main Authors: | , , , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
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MDPI
2020
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| Online Access: | http://hdl.handle.net/10835/8411 |
| _version_ | 1789406627838820352 |
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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 | One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify this hypothesis using a sample of 3.000 stocks of the USA market (attending to liquidity, capitalization, and free float criteria) by using some functions inspired by cooperative dynamics in physical particle systems. We will show that all of the co-movement among the stocks is completely explained by the market, even without considering the market beta of the stocks. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-8411 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2020 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-84112023-04-12T19:08:57Z A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las econophysics collective motion finance stock market capital assets pricing model One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify this hypothesis using a sample of 3.000 stocks of the USA market (attending to liquidity, capitalization, and free float criteria) by using some functions inspired by cooperative dynamics in physical particle systems. We will show that all of the co-movement among the stocks is completely explained by the market, even without considering the market beta of the stocks. 2020-09-02T10:44:29Z 2020-09-02T10:44:29Z 2020-08-29 info:eu-repo/semantics/article 1099-4300 http://hdl.handle.net/10835/8411 en https://www.mdpi.com/1099-4300/22/9/954 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess MDPI |
| spellingShingle | econophysics collective motion finance stock market capital assets pricing model López García, María Nieves Sánchez Granero, Miguel Ángel Trinidad Segovia, Juan Evangelista Puertas López, Antonio Manuel Nieves López, Francisco Javier de las A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title | A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title_full | A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title_fullStr | A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title_full_unstemmed | A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title_short | A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics |
| title_sort | new look on financial markets co-movement through cooperative dynamics in many-body physics |
| topic | econophysics collective motion finance stock market capital assets pricing model |
| url | http://hdl.handle.net/10835/8411 |
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