Emerging interdependence between stock values during financial crashes

Jacopo Rocchi; Enoch Yan Lok Tsui; David Saad

doi:10.1371/journal.pone.0176764

Emerging interdependence between stock values during financial crashes

Jacopo Rocchi, Enoch Yan Lok Tsui, David Saad

College of Engineering and Physical Sciences

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	e0176764
Number of pages	15
Journal	PLoS ONE
Volume	12
Issue number	5
DOIs	https://doi.org/10.1371/journal.pone.0176764
Publication status	Published - 25 May 2017

Bibliographical note

© 2017 Rocchi et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

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10.1371/journal.pone.0176764Licence: CC BY 3.0

Emerging interdependence between stock values during financial crashes
© 2017 Rocchi et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
Final published version, 4.36 MBLicence: CC BY 3.0

Cite this

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Emerging interdependence between stock values during financial crashes

Abstract

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