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Regularities in stock markets

Author

Listed:
  • Abhin Kakkad
  • Harsh Vasoya
  • Arnab K. Ray

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.

Suggested Citation

  • Abhin Kakkad & Harsh Vasoya & Arnab K. Ray, 2019. "Regularities in stock markets," Papers 1907.00371, arXiv.org, revised Dec 2020.
    • Handle: RePEc:arx:papers:1907.00371
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