Asymmetry Index of Stock Price Fluctuations
Weihong Huang* and Yu Zhang
Division of Economics, School of Humanities and Social Sciences, Nanyang Technological University, Singapore
- *Corresponding Author:
- Weihong Huang
School of Humanities and Social Sciences
Nanyang Technological University, Singapore
E-mail: [email protected]
Received June 27, 2014; Accepted July 24, 2014; Published July 31, 2014
Citation: Huang W, Zhang Y (2014) Asymmetry Index of Stock Price Fluctuations. J Glob Econ 2:118. doi: 10.4172/2375-4389.1000118
Copyright: © 2014 Huang W, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
Stock price fluctuation asymmetry, the asymmetry between stock price rise and fall speed, is a general feature of stock indices. Based on inverse statistics, a new measurement, named as asymmetry index, is proposed to evaluate this asymmetry. We calculate and compare asymmetry indices of historical prices from ten stock markets. It is found that in most stock markets, price fall is faster than price rise; while in China and India, price rise is generally faster than price fall.