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Financial earthquakes, aftershocks and scaling in emerging stock markets

Faruk Selcuk

Physica A: Statistical Mechanics and its Applications, 2004, vol. 333, issue C, 306-316

Abstract: This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature.

Keywords: Volatility; Scaling; Stock market; Emerging markets; Omori's law; Multifractality (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:333:y:2004:i:c:p:306-316

DOI: 10.1016/j.physa.2003.10.060

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

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