Temporal structure and gain/loss asymmetry for real and artificial stock indices

Johannes Vitalis Siven and Jeffrey Lins

Papers from arXiv.org

Abstract: We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain/loss asymmetry - this allows us to explicitly analyze the dependence between the index constituents. We consider mutual information and correlation based measures and show that the stock returns indeed have a higher degree of dependence in times of market downturns than upturns.

Date: 2009-07
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Citations: View citations in EconPapers (4)

Published in Phys. Rev. E 80, 057102 (2009)

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