Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298971 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] 2 [Year:] 2020 [Pages:] 87-107
Publisher: 
Sciendo, Warsaw
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.
Subjects: 
Financial Reynolds number
volatility
Herding
Bubble
Econophysics
JEL: 
G17
G41
A12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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