Defining an intrinsic "stickiness" parameter of stock price returns

Naji Massad () and Jørgen Vitting Andersen ()
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Naji Massad: Centre d'Economie de la Sorbonne
Jørgen Vitting Andersen: Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: non-linear CAPM; "stickiness" of stock returns (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2019-10
New Economics Papers: this item is included in nep-fmk and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:19028

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