| Autor: |
López-García MN; Department of Economics and Business, University of Almería, 04120 Almería, Spain., Sánchez-Granero MA; Department of Mathematics, University of Almería, 04120 Almería, Spain., Trinidad-Segovia JE; Department of Economics and Business, University of Almería, 04120 Almería, Spain., Puertas AM; Department of Chemistry and Physics, University of Almería, 04120 Almería, Spain., Nieves FJL; Department of Chemistry and Physics, University of Almería, 04120 Almería, Spain. |
| Abstrakt: |
One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify this hypothesis using a sample of 3.000 stocks of the USA market (attending to liquidity, capitalization, and free float criteria) by using some functions inspired by cooperative dynamics in physical particle systems. We will show that all of the co-movement among the stocks is completely explained by the market, even without considering the market beta of the stocks. |
