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Abnormal statistical properties of stock indexes during a financial crash

Li, Wei-Shen; Liaw, Sy-Sang - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 73-88

We investigate minute indexes of stock markets in 10 countries during financial crashes by dividing them into several stages according to their stock price tendencies: plunging stage (stage 1), fluctuating or rebounding stage (stage 2), and soaring stage (stage 3). The tail distributions of the...

Persistent link: https://www.econbiz.de/10011194001

How trading volume responds to return in financial dynamics?

Chen, Guang; Qiu, Tian; Jiang, Xiong-Fei; Zhong, Li-Xin; … - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 73-81

How trading volume responds to price return is investigated by the return–volume correlation dynamics, based on the … and the Chinese stock markets, respectively. Nonlocal dynamics further suggests an adverse correlation for the two markets … on the financial dynamics differing in the mature and emerging markets. …

Persistent link: https://www.econbiz.de/10011194063

The Spread of the Credit Crisis: View from a Stock Correlation Network

Smith, Reginald - Volkswirtschaftliche Fakultät, … - 2008

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade...

Persistent link: https://www.econbiz.de/10005668392