Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2004-01-09
Physica A343 (2004) 662-668
Physics
Condensed Matter
Statistical Mechanics
8 pages, 3 igures
Scientific paper
The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from January 1975 to April 2003, corresponded to the periods of bubbles and anti-bubbles. We divide the time series into two parts, the period of {\it inflation (or bubbles)} from January 1975 to December 2002 and the period of {\it deflation (or anti-bubbles)} from January 1990 to December 2002. We find that the volatility in the inflationary period is approximated by the $q$-exponential distribution with $ q = 1.14 $ while the volatility distribution in the deflationary period is accurately described by an {\it exponential} distribution, that is, the $q$-exponential distribution with $ q \to 1 $. Our empirical findings suggest that the momentous structural changes have occurred at the beginning of 1990 when the speculative bubble was collapsed in the Japan's stock markets. Keywords: econophysics, inflationary period, deflationary period, power law, exponential (Bolztmann-Gibbs) law; PACS 89.90.+n; 05.40.-a;
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