Econophysical bourse volatility-Global Evidence

Title

Econophysical bourse volatility-Global Evidence

Creator

Ghosh B.; Mc K.

Description

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the same. This study finds specific clusters of stock markets based on embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in nature. Information asymmetry hinted towards a well-discussed parameter of 'financial literacy' as well. More than eighty percent of indices under consideration showed traces of mild herd as well as bubble. The same indices were all found to be predictable, despite being stochastic time series. In the end, financial Reynolds number (Re) has been proved to be universal in nature, as far as volatility, herd behaviour and nascent bubble are concerned. 2020 Bikramaditya Ghosh et al., published by Sciendo 2020.

Source

Journal of Central Banking Theory and Practice, Vol-9, No. 2, pp. 87-107.

Date

2020-01-01

Publisher

Sciendo

Subject

Bubble; Econophysics; Financial Reynolds number; Herding; volatility

Coverage

Ghosh B., Institute of Management, Christ University, Bangalore, India; Mc K., Institute of Management, Christ University, Bangalore, India

Rights

All Open Access; Gold Open Access

Relation

ISSN: 18009581

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.2478/jcbtp-2020-0015

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088035656&doi=10.2478%2fjcbtp-2020-0015&partnerID=40&md5=0c4ee0078de671adbc41ef3854b9bb23