Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

Hai-Chin Yu and Ming-Chang Huang
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Ming-Chang Huang: Chung Yuan University, Taiwan

Econometrics from University Library of Munich, Germany

Abstract: This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 1990 to Dec. 31 2001. New York market is found to be the strongest among the six in terms of market efficiency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that the Tokyo market is more efficient than the Singapore market. The Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the two most volatile markets among the six. Notably, the Taiwanese market is weaker than the Korean market in dissipating volatility.

Keywords: Volatility; fractal dimension; probability distribution. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2003-08-12, Revised 2003-08-18
New Economics Papers: this item is included in nep-cfn, nep-cmp, nep-ets, nep-fmk and nep-rmg
Note: Type of Document - Tex; prepared on IBM PC ; to print on HP/PostScript/Franciscan monk; pages: 34; figures: included/request from author/draw your own. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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