Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7376637 | Physica A: Statistical Mechanics and its Applications | 2018 | 16 Pages |
Abstract
The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hai-Ling Gao, Jiang-Cheng Li, Wei Guo, Dong-Cheng Mei,