Journal de l'économie mondiale

Asymmetry Index of Stock Price Fluctuations

Abstract

Weihong Huang and Yu Zhang

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.