Return intervals analysis of the Hongkong stock market

被引：52

作者：

Zhang, Hong ^{[1
]}

Wang, Nianpeng ^{[1
]}

Dong, Keqiang ^{[2
]}

机构：

[1] Hebei Univ Engn, Coll Sci, Handan, Peoples R China

[2] Beijing Jiatong Univ, Sch Sci, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2009 INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND NATURAL COMPUTING, VOL I | 2009年

关键词：

Hurst exponent; Return intervals; Time series analysis; Rescaled range; Long-range correlation; FINANCIAL TIME-SERIES; STATISTICAL PHYSICS; HURST EXPONENT;

D O I：

10.1109/CINC.2009.108

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6, 2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals r(tau) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.

引用

页码：262 / +

页数：3

共 50 条

[21] The Analysis of the Arbitrage Pricing Model (APM) on the Stock Return. A Case of Athens Stock Market
Khudoykulov, Khurshid
MANAGEMENT 2016: INTERNATIONAL BUSINESS AND MANAGEMENT, DOMESTIC PARTICULARITIES AND EMERGING MARKETS IN THE LIGHT OF RESEARCH, 2016, : 252 - 261
[22] Stock return anomalies and individual investors in the Korean stock market
Jang, Jeewon
PACIFIC-BASIN FINANCE JOURNAL, 2017, 46 : 141 - 157
[23] Stock market uncertainty and the stock-bond return relation
Connolly, R
Stivers, C
Sun, LC
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2005, 40 (01) : 161 - 194
[24] Ranked market information as a stock return indicator
Miranda, FG
Knif, J
Hogholm, K
PROCEEDINGS OF THE IEEE/IAFE 1997 COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING (CIFER), 1997, : 195 - 201
[25] Stock market risk and return: An equilibrium approach
Whitelaw, RF
REVIEW OF FINANCIAL STUDIES, 2000, 13 (03): : 521 - 547
[26] Macroeconomic attention and stock market return predictability
Ma, Feng
Lu, Xinjie
Liu, Jia
Huang, Dengshi
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 79
[27] Oil Giants Return Domestic Stock Market
China Oil & Gas, 2001, (02) : 65 - 65
[28] Product market competition and stock return dependence
Asgharian, Hossein
Liu, Lu
FINANCE RESEARCH LETTERS, 2022, 50
[29] Overnight return reversal in the Chinese stock market
Zhang, Bing
Zhang, Ruiqi
Xue, Bing
APPLIED ECONOMICS, 2024,
[30] Investor sentiment and stock market return in China
Wang Zhaohui
MODERN FINANCE AND GLOBAL TRADING COOPERATION: PROCEEDINGS OF THE 5TH INTERNATIONAL ANNUAL CONFERENCE ON WTO AND FINANCIAL ENGINEERING, 2008, : 576 - 582

← 1 2 3 4 5 →