Statistical properties of daily ensemble variables in the Chinese stock markets

Details Statistical properties of daily ensemble variables in the Chinese stock markets Statistical properties of daily ensemble variables in the Chinese stock markets

2006-03-18

arxiv.org/abs/physics/0603147v1

Physica A 383, 497-506 (2007).

Physics

Physics and Society

15 Elsart Latex pages including 6 figures (7 eps files)

Scientific paper

10.1016/j.physa.2007.05.007

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

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