Power tails of index distributions in chinese stock market

J.W. Zhang, Y. Zhang and H. Kleinert

Physica A: Statistical Mechanics and its Applications, 2007, vol. 377, issue 1, 166-172

Abstract: The power α of the Lévy tails of stock market fluctuations discovered in recent years are generally believed to be universal. We show that for the Chinese stock market this is not true, the powers depending strongly on anomalous daily index changes short before market closure, and weakly on the opening data.

Keywords: Power-law; Lévy distribution; Stock market index (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:377:y:2007:i:1:p:166-172

DOI: 10.1016/j.physa.2006.11.012

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