Comparison between response dynamics in transition economies and developed economies.
Comparison between response dynamics in transition economies and developed economies.
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DOI：
10.1103/physreve.82.046104
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发表时间：
2010-10
期刊：
影响因子：
--
通讯作者：
J. Tenenbaum;D. Horvatić;S. C. Bajić;B. Pehlivanović;B. Podobnik;H. E. Stanley
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文献类型：
--
作者：
J. Tenenbaum;D. Horvatić;S. C. Bajić;B. Pehlivanović;B. Podobnik;H. E. Stanley
在发达经济体，价格增量的符号以不对称的方式影响波动-负增量往往导致较大的波动（增量幅度较大），而正增量导致较小的波动。我们探讨这种不对称性是否从发达经济体延伸到欧洲转型经济体，如果是这样，这种不对称性如何随着时间的推移而变化，这些转型经济体的发展和成熟。我们分析了11个欧洲转型经济体，并将分析结果与美国市场指数进行了比较。具体来说，我们计算参数，量化的波动不对称性和强度的依赖于先前的增量。我们发现，与发达经济体一样，几乎所有转型经济体指数都表现出显著的波动不对称性，并且表征不对称性的参数γ随时间波动更大。我们还研究了波动性和波动不对称性之间的关联如何因市场类型而异。我们检验了波动性和波动性不对称性之间的负相关性的假设。我们发现，对于发达经济体，γ在（i）1987年10月19日的“黑色星期一”，（ii）2002年的互联网泡沫崩溃，（iii）2007-2009年的全球危机期间经历局部极小值，而对于转型经济体，γ在经济危机期间经历局部极大值。
In developed economies, the sign of the price increment influences the volatility in an asymmetric fashion--negative increments tend to result in larger volatility (increments with larger magnitudes), while positive increments result in smaller volatility. We explore whether this asymmetry extends from developed economies to European transition economies and, if so, how such asymmetry changes over time as these transition economies develop and mature. We analyze eleven European transition economies and compare the results with those obtained by analyzing U.S. market indices. Specifically, we calculate parameters that quantify both the volatility asymmetry and the strength of its dependence on prior increments. We find that, like their developed economy counterparts, almost all transition economy indices exhibit a significant volatility asymmetry, and the parameter γ characterizing asymmetry fluctuates more over time for transition economies. We also investigate how the association between volatility and volatility asymmetry varies by type of market. We test the hypothesis of a negative correlation between volatility and volatility asymmetry. We find that, for developed economies, γ experiences local minima during (i) "Black Monday" on October 19, 1987, (ii) the dot-com bubble crash in 2002, and (iii) the 2007-2009 global crisis while for transition economies, γ experiences local maxima during times of economic crisis.