Volatility Similarities of Stock Prices within the Same Industries

Authors

  • Chris Rudyard F. Naval University of San Jose-Recoletos
  • Kristine June D. Uy University of San Jose-Recoletos

DOI:

https://doi.org/10.32871/rmrj1301.02.05

Keywords:

fractals, fractals in finance, volatility similarities, same industries, stock price volatility

Abstract

It is prevalently known in finance, and even economics, that prices are the market players’ reflection of its collective reaction to the market. Market players’ perceptions on an industry may have direct effects on the volatility levels of its member stocks. Moreover, this theory may have certain effects on the fluctuation levels of stocks within the same industry, thereby; having
common intuitions on the industry brings similarities in volatility. Having this ideology, the researchers are fascinated in seeing fluctuation similarities, which may appear contrary to the notion that “there is uniqueness on each stock’s fluxesâ€. The study attempts to fill in the gap by studying volatility similarities of stocks with the same industry. Concentrating on volatility, the researchers utilized fractal statistics-- a newly developed science of fractals. The methodology enables users to analyze ruggedness of data in their unsmoothed state and create appropriate analysis. This study is also a test of fractal statistics as a risk measure that does not disregard the inherent ruggedness of the data set. The authors proposes, through fractal statistics, that the area of the data set’s ruggedness relates to the stock’s risk and compare it with other member stocks of the industry. Consequently, trends of stock’s fluctuations levels are compared with other industry-member stocks. It is identified that there are prominent similar trends within each chosen industries. It is found out that industry stocks’ fluctuation levels possess trend similarities and even posed same results with stocks in the same sector. Fractal statistics has been confirmed effective in exploring the phenomena on stock price volatility similarities.

Author Biographies

Chris Rudyard F. Naval, University of San Jose-Recoletos

received his Master’s degree in Accountancy from the University of San Carlos (USC), Cebu City, Philippines. Chris holds a baccalaureate degree in Management Accounting from the University of San Carlos, and is currently taking Master of Arts in Economics and PhD in Management from the University of San Carlos. He is a finance faculty of the University of San Jose - Recoletos in Cebu City. He finds his comfort in research, both academic and industry-based. Some his works are: An Empirical Validation of the Psychological Anatomy of Gossip, Fractal Behaviour of Selected Stock Prices, Fractal Volatility of Stock Price Levels, and Volatility Similarities of Stock Prices within the Same Industries. His interests are in finance, mathematics and statistics, physics, and financial engineering.

Kristine June D. Uy, University of San Jose-Recoletos

is a faculty member of the University of San Jose Recoletos, was born in 1982 and educated at the University of San Jose Recoletos where she graduated magna cum laude (Bachelor of Science in Accountancy , 2003). She also obtained her Master in Business Administration degree (2008) from the same university. A Certified Public Accountant, she worked with Isla Lipana and Company, a member firm of Pricewaterhouse Coopers (2004-2006). She has been a faculty member of the accountancy department of the University of San Jose Recoletos since 2006 up to the present, handling the subjects Basic Accounting, Partnership and Corporation Accounting, Financial Accounting, Auditing and Assurance Services, and Integrated Auditing Theory.

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Published

2013-12-31

How to Cite

Naval, C. R. F., & Uy, K. J. D. (2013). Volatility Similarities of Stock Prices within the Same Industries. Recoletos Multidisciplinary Research Journal, 1(2). https://doi.org/10.32871/rmrj1301.02.05

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