Statistical properties of daily ensemble variables in the Chinese stock markets

被引：25
作者：
Gu, Gao-Feng
Zhou, Wei-Xing [1 ]
机构：
[1] E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China
[2] E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 383卷 / 02期
基金：
中国国家自然科学基金;
关键词：
econophysics; ensemble return; variety; probability distribution; long memory; statistical test; DETRENDED FLUCTUATION ANALYSIS; LONG-RANGE DEPENDENCE; FINANCIAL-MARKETS; PRICE FLUCTUATIONS; SCALING BEHAVIOR; ECONOMIC INDEX; POWER-LAW; DISTRIBUTIONS; VOLATILITY; ESTIMATORS;
D O I：
10.1016/j.physa.2007.05.007
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：497 / 506
页数：10
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