Return volatility interval analysis of stock indexes during a financial crash

Wei-Shen Li and Sy-Sang Liaw

Physica A: Statistical Mechanics and its Applications, 2015, vol. 434, issue C, 151-163

Abstract: We investigate the interval between return volatilities above a certain threshold q for 10 countries data sets during the 2008/2009 global financial crisis, and divide these data into several stages according to stock price tendencies: plunging stage (stage 1), fluctuating or rebounding stage (stage 2) and soaring stage (stage 3). For different thresholds q, the cumulative distribution function always satisfies a power law tail distribution. We find the absolute value of the power-law exponent is lowest in stage 1 for various types of markets, and increases monotonically from stage 1 to stage 3 in emerging markets.

Keywords: Econophysics; Stock market; Crash; Return volatility interval; Long-tail distribution; Long-range persistence (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:434:y:2015:i:c:p:151-163

DOI: 10.1016/j.physa.2015.03.063

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