Emerging interdependence between stock values during financial crashes.
Where this comes from
- Record sourced from PubMed, PMID 28542278.
- Also identified by DOI 10.1371/journal.pone.0176764 and PMC identifier 5444585.
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Abstract
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.
Medical subject headings
- Financial Management
- Investments
- Marketing