Defining an intrinsic "stickiness" parameter of stock price returns

Naji Massad () and Jørgen Vitting Andersen ()
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Naji Massad: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Jørgen Vitting Andersen: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We introduce a non-linear pricing model of individual stock returns that defines a "stickiness" parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a non-linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding "stress" to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the index's price movements, can then be used to define their "stickiness".

Keywords: stickiness of stock returns; non-linear CAPM (search for similar items in EconPapers)
Date: 2020-06
New Economics Papers: this item is included in nep-cwa
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Published in Physica A: Statistical Mechanics and its Applications, 2020, 547 (1), pp.124464. ⟨10.1016/j.physa.2020.124464⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-03483251

DOI: 10.1016/j.physa.2020.124464

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