کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975490 933033 2007 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical properties of daily ensemble variables in the Chinese stock markets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Statistical properties of daily ensemble variables in the Chinese stock markets
چکیده انگلیسی

We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble return and variety defined, respectively, as the mean and the standard deviation of the ensemble daily price return of a portfolio of stocks traded in China's stock markets on a given day. The distribution of the daily ensemble return has an exponential form in the center and power-law tails, while the variety distribution is lognormal in the bulk followed by a power-law tail for large variety. Based on detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find evidence of long memory in the ensemble return and strong evidence of long memory in the evolution of variety.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 2, 15 September 2007, Pages 497–506
نویسندگان
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