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Abstract
In an analysis of the US, the UK and German stock market, we find a change in the behaviour based on the stocks’ beta values. In the years 1995–2006, trades of stocks with high beta and large volume were concentrated in the IT and technology sector, whereas in 2006–2012 those trades are dominated by stocks from the financial sector. We show that an agent-based model can reproduce such a transition. We further show that the initial impulse for the transition might stem from the increase of high-frequency trading at that time.
Notes
No potential conflict of interest was reported by the authors.
1 We excluded stocks for which price did not change for more than 8% of the trading days, or which were exempt from trading or for which no trading was recorded for more than 10 days in a row. We manually deleted 15 stocks which price movements at some point showed similarities to penny stocks and/or which market capitalization was very low.