Econophysical bourse volatility – Global Evidence

Bikramaditya Ghosh () and Krishna Mc ()
Additional contact information
Bikramaditya Ghosh: Institute of Management, Christ University, Bangalore, India
Krishna Mc: Institute of Management, Christ University, Bangalore, India

Journal of Central Banking Theory and Practice, 2020, vol. 9, issue 2, 87-107

Abstract: Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the same. This study finds specific clusters of stock markets based on embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in nature. Information asymmetry hinted towards a well-discussed parameter of ‘financial literacy’ as well. More than eighty percent of indices under consideration showed traces of mild herd as well as bubble. The same indices were all found to be predictable, despite being stochastic time series. In the end, financial Reynolds number (Re) has been proved to be universal in nature, as far as volatility, herd behaviour and nascent bubble are concerned.

Keywords: Financial Reynolds number; volatility; Herding; Bubble; Econophysics (search for similar items in EconPapers)
JEL-codes: A12 G17 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cbcg.me/repec/cbk/journl/vol9no2-5.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:9:y:2020:i:2:p:87-107

Access Statistics for this article

More articles in Journal of Central Banking Theory and Practice from Central bank of Montenegro Contact information at EDIRC.
Bibliographic data for series maintained by ().