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Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis

  • Fabrizio Lillo
  • Giovanni Bonanno
  • Rosario N. Mantegna

Abstract

We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998 crash of the S&P500 index. All the stocks traded at the NYSE during that period are considered in the present analysis. We show that the statistical properties of the variety observed in analyses of daily returns also hold for intraday returns. In particular the largest changes of the variety of the return distribution turns out to be most localized at the opening or (to a less degree) at the closing of the market.

Keywords

Time Horizon Financial Market Stock Return Daily Return Price Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Japan 2002

Authors and Affiliations

  • Fabrizio Lillo
    • 1
  • Giovanni Bonanno
    • 1
  • Rosario N. Mantegna
    • 1
    • 2
  1. 1.Istituto Nazionale per la Fisica della Materia, Facoltà di IngegneriaUnità di PalermoPalermoItalia
  2. 2.Dipartimento di Fisica e Tecnologie RelativeUniversità di PalermoPalermoItalia

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