Volatility Co-Movement in Stock Markets

The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar the physics many-body systems, where motions signal structural rearrangement. This methodology is aimed to identify cause coherent changes or price. function calculated product variations (or price) pair stocks, averaged over all particles. In addition global co-movement, its distribution according also studied. We find that with tend have greater than dissimilar volatility, general decrease increasing volatility. On other hand, when average log-price) subtracted from stock log-price), decreases notably becomes almost zero. result, interpreted within background many body physics, allows us index motion as main source for co-movement. Finally, we confirm during crisis periods, much higher calmer periods.