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- ISIDORE Id: 10670/1.2b3b5c...
- halshs: halshs-03483251
- ARXIV: 2005.02351
- doi: 10.1016/j.physa.2020.124464
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info:eu-repo/semantics/altIdentifier/arxiv/2005.02351
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2020.124464
http://creativecommons.org/licenses/by/ , info:eu-repo/semantics/OpenAccess
Mots-clés
stickiness of stock returns non-linear CAPM G - Financial Economics/G.G1 - General Financial MarketsSujets proches
Price policy, Industrial Retail pricing Price policy Gold plate Funds Funding Pattern Model Finance, commerce, confiscations, etcCiter ce document
Naji Massad et al., « Defining an intrinsic "stickiness" parameter of stock price returns », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1016/j.physa.2020.124464
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Résumé
We introduce a non-linear pricing model of individual stock returns that defines a "stickiness" parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a non-linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding "stress" to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the index's price movements, can then be used to define their "stickiness".
