Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1874459
Theoretical and experimental evidence on stock market volatilities: a two-phase flow model
Limin Wang
Yingying Xu
Sultan Salem
Sažetak
The volume–volatility relationship usually ignores possible effects
of stock shares. This article proposes a two-phase flow model
assuming that capital and stock flows determine stock price and
return volatility. Computational simulations suggest that monodirectional capital or stock flows and collective flows exert different
effects on stock return volatilities. Considering the impact of stock
flows, the positive relationship between capital and return volatility is no longer guaranteed. The inflow of capital and the outflow
of stock increase stock price similarly; but exhibit completely different effects on stock return volatilities. A persistent stock inflow
(outflow) reduces (intensifies) return volatilities, whereas a monodirectional persistent capital outflow has no such effect. When
capital and stock flows’ velocities satisfy critical values determined
by the initial state of the market, the market enlargement accompanied with increasing stock and capital shows no impact on
market stability because of stable return volatilities. Otherwise,
stock flows drive return volatilities with stronger effects than capital flows. Further experimental studies that simulate the real
stock market through a trading system provide strong evidence
supporting the two-phase flow model. Given similar driving forces
of capital and stock flows, the interaction of them should be considered in constructing investment strategies and setting policie
Ključne riječi
capital; stock; volume–volatility; two-phase flow model; experiment; econophysics
Hrčak ID:
301653
URI
Datum izdavanja:
31.12.2021.
Posjeta: 421 *