Cross-response in correlated financial markets: individual stocks

Shanshan Wang (), Rudi Schäfer and Thomas Guhr
Additional contact information
Shanshan Wang: Fakultät für Physik, Universität Duisburg-Essen
Rudi Schäfer: Fakultät für Physik, Universität Duisburg-Essen
Thomas Guhr: Fakultät für Physik, Universität Duisburg-Essen

The European Physical Journal B: Condensed Matter and Complex Systems, 2016, vol. 89, issue 4, 1-16

Abstract: Abstract Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the impact of one stock on others and vice versa? – This impact of trades on the price change across stocks appears to be transient instead of permanent as we discuss from the viewpoint of market efficiency. Furthermore, we compare the self-responses on different scales and the self- and cross-responses on the same scale. We also find that the cross-correlation of the trade signs turns out to be a short-memory process.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://link.springer.com/10.1140/epjb/e2016-60818-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:eurphb:v:89:y:2016:i:4:d:10.1140_epjb_e2016-60818-y

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2016-60818-y

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().