The synchronicity between the stock and the stock index via information in market

Hai-Ling Gao, Jiang-Cheng Li, Wei Guo and Dong-Cheng Mei

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1382-1388

Abstract: The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.

Keywords: Synchronicity; Market information; Heston model (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1382-1388

DOI: 10.1016/j.physa.2017.11.065

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