Scaling behavior in ranking mobility of Chinese stock market

Ke Wu, Wanting Xiong, Xin Weng and Yougui Wang

Physica A: Statistical Mechanics and its Applications, 2014, vol. 408, issue C, 164-169

Abstract: As an aggregate measure of the variations in individuals, the analysis of mobility provides a substantial and comprehensive perspective into the complexity of socio-economic systems. In this paper, we introduced the ranking mobility index to measure the ranking variations of the stocks in Chinese stock market over time. Using the daily data of 837 constituent stocks of the Shanghai A-Stock Composite Index from January 1, 2002 to December 31, 2012, we examined respectively the dependence of ranking mobility with respect to the absolute return, trading volume and turnover ratio on the sampling time interval. The scaling property is observed in all three relations. The fact of long relaxation times gives evidence of long memory property in the stock ranking orders.

Keywords: Ranking mobility; Time characteristic; Scaling; Long memory; Econophysics (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:408:y:2014:i:c:p:164-169

DOI: 10.1016/j.physa.2014.04.027

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