Cross-correlation asymmetries and causal relationships between stock and market risk
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stock...
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| Veröffentlicht in: | PloS one 2014-08, Vol.9 (8), p.e105874-e105874 |
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| creator | Borysov, Stanislav S Balatsky, Alexander V |
| description | We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. |
| doi_str_mv | 10.1371/journal.pone.0105874 |
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The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.</description><subject>Causality</subject><subject>Commerce - economics</subject><subject>Commerce - statistics & numerical data</subject><subject>Correlation</subject><subject>Correlation analysis</subject><subject>covariance</subject><subject>Crashes</subject><subject>Critical phenomena</subject><subject>Equity Markets</subject><subject>Europe</subject><subject>finance</subject><subject>Financial-Markets</subject><subject>Fluctuations</subject><subject>Forecasts and trends</subject><subject>Fourier analysis</subject><subject>GENERAL AND MISCELLANEOUS</subject><subject>Graphs</subject><subject>Housing</subject><subject>Humans</subject><subject>Internationality</subject><subject>Investments - economics</subject><subject>Investments - statistics & numerical data</subject><subject>Laboratories</subject><subject>Marketing - 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| subjects | Causality Commerce - economics Commerce - statistics & numerical data Correlation Correlation analysis covariance Crashes Critical phenomena Equity Markets Europe finance Financial-Markets Fluctuations Forecasts and trends Fourier analysis GENERAL AND MISCELLANEOUS Graphs Housing Humans Internationality Investments - economics Investments - statistics & numerical data Laboratories Marketing - economics Marketing - statistics & numerical data Markets Models, Economic Networks peak values petroleum Physical Sciences Response functions Return on investment Risk Social Sciences Standard deviation statistical distribution Stock markets Stocks Theory Time series Trees Trends United States Volatility |
| title | Cross-correlation asymmetries and causal relationships between stock and market risk |
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