• DOI:10.2139/ssrn.2892260
• Corpus ID: 124302539

Cross-response in correlated financial markets: individual stocks

@article{Wang2016CrossresponseIC,
  title={Cross-response in correlated financial markets: individual stocks},
  author={Shanshan Wang and Rudi Sch{\"a}fer and Thomas Guhr},
  journal={The European Physical Journal B},
  year={2016},
  volume={89},
  pages={1-16}
}

• Shanshan Wang, R. Schäfer, T. Guhr
• Published 4 March 2016
• Economics
• The European Physical Journal B

Abstract
Previous studies of the stock price response to trades focused on the dynamics of single
stocks, i.e. they addressed the self-response. We empirically investigate the price
response of one stock to the trades of other stocks in a correlated market, i.e. the
cross-responses. How large is the impact of one stock on others and vice versa? – This
impact of trades on the price change across stocks appears to be transient instead of
permanent as we discuss from the viewpoint of market efficiency. Furthermore, we compare
the self-responses on different scales and the self- and cross-responses on the same
scale. We also find that the cross-correlation of the trade signs turns out to be a
short-memory process.