Persistent collective trend in stock markets

摘要

Empirical evidence is given for a significant difference in the collectivetrend of the share prices during the stock index rising and falling periods.Data on the Dow Jones Industrial Average and its stock components are studiedbetween 1991 and 2008. Pearson-type correlations are computed between thestocks and averaged over stock-pairs and time. The results indicate a generaltrend: whenever the stock index is falling the stock prices are changing in amore correlated manner than in case the stock index is ascending. A thoroughstatistical analysis of the data shows that the observed difference issignificant, suggesting a constant-fear factor among stockholders.