The first 20 min in the Hong Kong stock market

Zhi-Feng Huang

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 3, 405-411

Abstract: Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very different from those of the other times. In particular, the properties of tail distribution, which will show the power-law scaling with exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each trading day.

Keywords: Probability distribution; Volatility; Autocorrelation; Exponential; Power law (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437100003794
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:287:y:2000:i:3:p:405-411

DOI: 10.1016/S0378-4371(00)00379-4

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().