Unraveling Hidden Order in the Dynamics of Developed and Emerging Markets

作者：Berman Yonatan; Shapira Yoash; Ben Jacob Eshel^*

来源：PLos One, 2014, 9(11): e112427.

DOI：10.1371/journal.pone.0112427

The characterization of asset price returns is an important subject in modern finance. Traditionally, the dynamics of stock returns are assumed to lack any temporal order. Here we present an analysis of the autocovariance of stock market indices and unravel temporal order in several major stock markets. We also demonstrate a fundamental difference between developed and emerging markets in the past decade - emerging markets are marked by positive order in contrast to developed markets whose dynamics are marked by weakly negative order. In addition, the reaction to financial crises was found to be reversed among developed and emerging markets, presenting large positive/negative autocovariance spikes following the onset of these crises. Notably, the Chinese market shows neutral or no order while being regarded as an emerging market. These findings show that despite the coupling between international markets and global trading, major differences exist between different markets, and demonstrate that the autocovariance of markets is correlated with their stability, as well as with their state of development.

• 出版日期2014-11-10