Viscoelastic behavior of stock indices

Güngör Gündüz and Yalin Gündüz

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 24, 5776-5784

Abstract: The scattering diagram of a stock index results in a complex network structure, which can be used to analyze the viscoelastic properties of the index. The change along x- or y-direction of the diagram corresponds to purely elastic (or spring like) movement whereas the diagonal change at an angle of 45° corresponds to purely viscous (or dashpot like) movement. The viscous component pushes the price from its current value to any other value, while the elastic component acts like a restoring force. Four indices, namely, DJI, S&P-500, NASDAQ-100, and NASDAQ-composite were studied for the period of 2001–2009. NASDAQ-composite displayed very high elasticity while NASDAQ-100 displayed the highest fluidity in the time period considered. The fluidity of DJI and S&P-500 came out to be close to each other, and they are almost the same in the second half of the period.

Keywords: Viscoelasticity; Econophysics; Financial markets; Elasticity; Fluidity; Stock index; Stock market; Network; Cohesion (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:24:p:5776-5784

DOI: 10.1016/j.physa.2010.09.010

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