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

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

2001-04-19

arxiv.org/abs/cond-mat/0104362v1

Physics

Condensed Matter

Statistical Mechanics

13 pages, 7 figures. To appear in Proceedings of Empirical Science of Financial Fluctuations, Econophysics on the Horizon, Ed

Scientific paper

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.

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