Quantifying financial market dynamics: Scaling law in rank mobility of Chinese stock prices

Yongbin Shi, Miao Yu, Liujun Chen, Plamen Ch. Ivanov and Yougui Wang

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Rank mobility, which was designed to measure the average variation of relative rank positions with respect to any absolute variable over a given time period, can be used to explore how the memory of stock price ranking orders fades over time. We investigate the variations in rank order of the closing prices of stocks registered at the Shanghai A-share market over a long period of 16 years. And we find that rank mobility increases as a power law with increasing time scale, and eventually converges to a constant level. This power-law relationship can be observed not only over a long period of 16 years but also for each consecutive year, especially their power-law exponents are very close. The empirical evidence indicates a fundamental dynamics of Chinese stock price movements.

Keywords: Rank mobility; Stock price co-movement; Stock price dynamics; Firm-specific information; Power law (search for similar items in EconPapers)
JEL-codes: C58 D63 I32 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231931308X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s154461231931308x

DOI: 10.1016/j.frl.2020.101516

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().