<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the same. This study finds specific clusters of stock markets based on embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in nature. Information asymmetry hinted towards a well-discussed parameter of ‘financial literacy’ as well. More than eighty percent of indices under consideration showed traces of mild herd as well as bubble. The same indices were all found to be predictable, despite being stochastic time series. In the end, financial Reynolds number (Re) has been proved to be universal in nature, as far as volatility, herd behaviour and nascent bubble are concerned.</p></abstract>

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the same. This study finds specific clusters of stock markets based on embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in nature. Information asymmetry hinted towards a well-discussed parameter of ‘financial literacy’ as well. More than eighty percent of indices under consideration showed traces of mild herd as well as bubble. The same indices were all found to be predictable, despite being stochastic time series. In the end, financial Reynolds number (Re) has been proved to be universal in nature, as far as volatility, herd behaviour and nascent bubble are concerned.

Econophysical bourse volatility – Global Evidence

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Econophysical bourse volatility \u2013 Global Evidence"}

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse)...

Econophysical bourse volatility – Global Evidence

Published Online: Jun 02, 2020

Page range: 87 - 107

Received: Dec 04, 2018

Accepted: Aug 14, 2019

DOI: https://doi.org/10.2478/jcbtp-2020-0015

Keywords
Financial Reynolds number, volatility, Herding, Bubble, Econophysics

© 2020 Bikramaditya Ghosh et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Econophysical bourse volatility – Global Evidence

Published Online: Jun 02, 2020

Page range: 87 - 107

Received: Dec 04, 2018

Accepted: Aug 14, 2019

DOI: https://doi.org/10.2478/jcbtp-2020-0015

KeywordsFinancial Reynolds number, volatility, Herding, Bubble, Econophysics

© 2020 Bikramaditya Ghosh et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
Financial Reynolds number, volatility, Herding, Bubble, Econophysics