Persistent collective trend in stock markets
arXiv:1005.0378 · doi:10.1103/PhysRevE.82.066113
Abstract
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and averaged over stock-pairs and time. The results indicate a general trend: whenever the stock index is falling the stock prices are changing in a more correlated manner than in case the stock index is ascending. A thorough statistical analysis of the data shows that the observed difference is significant, suggesting a constant-fear factor among stockholders.
LaTeX 9 pages, 7 figures
References in corpus (5)
- Power-law distributions in empirical data
- Multifractality of Inverse Statistics of Exit Distances in 3D Fully Developed Turbulence
- Synchronization Model for Stock Market Asymmetry
- A multiscale view on inverse statistics and gain/loss asymmetry in financial time series
- Fear and its implications for stock markets