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Econophysical bourse volatility – Global Evidence

Author

Listed:
  • Bikramaditya Ghosh

    (Institute of Management, Christ University, Bangalore, India)

  • Krishna MC

    (Institute of Management, Christ University, Bangalore, India)

Abstract

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.

Suggested Citation

  • Bikramaditya Ghosh & Krishna MC, 2020. "Econophysical bourse volatility – Global Evidence," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 87-107.
    • Handle: RePEc:cbk:journl:v:9:y:2020:i:2:p:87-107
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial Reynolds number; volatility; Herding; Bubble; Econophysics;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines

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