Power law and multiscaling properties of the Chinese stock market

Man-Ying Bai and Hai-Bo Zhu

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 9, 1883-1890

Abstract: We investigate the cumulative probability density function (PDF) and the multiscaling properties of the returns in the Chinese stock market. By using returns data adjusted for thin trading, we find that the distribution has power-law tails at shorter microscopic timescales or lags. However, the distribution follows an exponential law for longer timescales. Furthermore, we investigate the long-range correlation and multifractality of the returns in the Chinese stock market by the DFA and MFDFA methods. We find that all the scaling exponents are between 0.5 and 1 by DFA method, which exhibits the long-range power-law correlations in the Chinese stock market. Moreover, we find, by MFDFA method, that the generalized Hurst exponents h(q) are not constants, which shows the multifractality in the Chinese stock market. We also find that the correlation of Shenzhen stock market is stronger than that of Shanghai stock market.

Keywords: Cumulative probability density function; Power law; DFA; MFDFA; Multifractality (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:9:p:1883-1890

DOI: 10.1016/j.physa.2010.01.005

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