Article ID Journal Published Year Pages File Type
975490 Physica A: Statistical Mechanics and its Applications 2007 10 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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