Statistical properties of German Dax and Chinese indices

T. Qiu, B. Zheng, F. Ren and S. Trimper

Physica A: Statistical Mechanics and its Applications, 2007, vol. 378, issue 2, 387-398

Abstract: We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may show irregular dynamic behavior. At the daily time scale, the volatility distribution, autocorrelation function and DFA function of the Chinese indices are qualitatively similar to those of the German Dax, while the return-volatility correlation function exhibits an anti-leverage effect, different from the leverage effect of the German Dax.

Keywords: Complex system; Social and economic systems (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:378:y:2007:i:2:p:387-398

DOI: 10.1016/j.physa.2006.12.016

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