Asymmetric Synchronicity in Extreme Stock Price Movements: Evidence from China’s Stock Market

Yang Liu; Xiaoguang Yang

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Asymmetric Synchronicity in Extreme Stock Price Movements: Evidence from China’s Stock Market

机译：极端股价波动中的不对称同步性：来自中国股市的证据

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We investigate the synchronicity of extreme stock returns by using the individual stock trading data from WIND database during a time span from May 1st 2014 to Dec 31th 2016 and find that there is an asymmetrical pattern of stock prices co-movement with respect to extreme market conditions, namely, the individual stock prices tend to fall down at the same time more than to rise up at the same time when the market experiences the extreme events. This is quite different from the fact that stock prices co-movements are almost symmetric under normal market conditions. We give an explanation with empirical evidence to this phenomenon that extreme positive and negative returns come mainly from different inherent mechanisms. Extreme positive returns happen mainly due to individual stock information release, while extreme negative returns mainly result from a market wide pessimistic investor sentiment.

机译：我们通过使用WIND数据库中2014年5月1日至2016年12月31日期间的单个股票交易数据来研究极端股票收益的同步性，发现相对于极端市场情况，股票价格联动存在非对称模式也就是说，当市场经历极端事件时，单个股票价格倾向于同时下跌而不是同时上涨。这与股票价格联动在正常市场条件下几乎对称的事实完全不同。我们用这种现象的经验证据来解释，极端的正收益和负收益主要来自不同的内在机理。极高的正回报主要是由于个人股票信息的发布，而极度的负回报主要是由于市场对投资者的悲观情绪所致。

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《Procedia Computer Science》 |2017年第1期|共6页
作者
Yang Liu; Xiaoguang Yang;
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中图分类计算技术、计算机技术;
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Asymmetric Synchronicity in Extreme Stock Price Movements: Evidence from China’s Stock Market

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