Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998 crash of the S&P500 index. All the stocks traded at the NYSE during that period are considered in the present analysis. We show that the statistical properties of the variety observed in analyses of daily returns also hold for intraday returns. In particular the largest changes of the variety of the return distribution turns out to be most localized at the opening or (to a less degree) at the closing of the market.
13 pages, 7 figures. To appear in Proceedings of Empirical Science of Financial Fluctuations, Econophysics on the Horizon, Ed by H. Takayasu

Keywords

Statistical Mechanics, Statistical Finance

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/208688

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0104362
 http://arxiv.org/abs/cond-mat/0104362

Collections

arXiv