Statistical properties of daily ensemble variables in the Chinese stock markets

Gao-Feng Gu and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 2, 497-506

Abstract: We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble return and variety defined, respectively, as the mean and the standard deviation of the ensemble daily price return of a portfolio of stocks traded in China's stock markets on a given day. The distribution of the daily ensemble return has an exponential form in the center and power-law tails, while the variety distribution is lognormal in the bulk followed by a power-law tail for large variety. Based on detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find evidence of long memory in the ensemble return and strong evidence of long memory in the evolution of variety.

Keywords: Econophysics; Ensemble return; Variety; Probability distribution; Long memory; Statistical test (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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Working Paper: Statistical properties of daily ensemble variables in the Chinese stock markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:2:p:497-506

DOI: 10.1016/j.physa.2007.05.007

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