TY  - JOUR
JF  - The European Physical Journal B
IS  - 4
UR  - http://dx.doi.org/10.1140/epjb/e2009-00380-3
Y1  - 2010///
TI  - Common scaling behavior in finance and macroeconomics
AV  - none
SP  - 487
N2  - In order to test whether scaling exists in finance at the world level, we test whether the average growth rates and volatility of market capitalization (MC) depend on the level of MC. We analyze the MC for 54 worldwide stock indices and 48 worldwide bond indices. We find that (i) the average growth rate   r   of the MC and (ii) the standard deviation (r) of growth rates r decrease both with MC as power laws, with exponents w = 0.28 ± 0.09 and w  = 0.12 ± 0.04. We define a stochastic process in order to model the scaling results we find for worldwide stock and bond indices. We establish a power-law relationship between the MC of a country?s financial market and the gross domestic product (GDP) of the same country. 
SN  - 1434-6028
A1  - Podobnik, Boris
A1  - Horvatic, Davor
A1  - Petersen, Alexander M.
A1  - Njavro, M.
A1  - Stanley, H. Eugene
EP  - 490
N1  - PACS  89.65.Gh Economics; econophysics, financial markets, business and management - 89.65.-s Social and economic systems - 89.75.Da Systems obeying scaling laws - 02.50.Ey Stochastic processes 
ID  - eprints264
VL  - 76
ER  -