Regularities in stock markets

Abhin Kakkad, Harsh Vasoya and Arnab K. Ray

Papers from arXiv.org

Abstract: From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean growth of the stock values is exponential. The daily price fluctuations about the mean growth are Gaussian, but with a non-zero asymptotic convergence. The growth of the monthly average of stock values is statistically self-similar to their daily growth. The monthly fluctuations of the price follow a Wiener process, with a decline of the volatility. The mean growth of the daily volume of trade is exponential. These observations are globally applicable and underline regularities across global stock markets.

Date: 2019-06, Revised 2020-12
New Economics Papers: this item is included in nep-cna and nep-fmk
References: Add references at CitEc
Citations:

Published in IJMPC Vol.31, No.10, 2050145 (2020)

Downloads: (external link)
http://arxiv.org/pdf/1907.00371 Latest version (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:arx:papers:1907.00371

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().