Physics – Data Analysis – Statistics and Probability
Scientific paper
2006-01-18
Physics
Data Analysis, Statistics and Probability
5 pages, 5 figures
Scientific paper
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-law distribution with an exponent of $\zeta \approx 3$, while the Korean stock market follows an exponential distribution with an exponent of $\beta \approx 0.7$. The Hurst exponent analysis of the original return, and its magnitude and sign series, reveal that the long-term-memory property, which is absent in the returns and sign series, exists in the magnitude time series with $0.7 \leq H \leq 0.8$. The surrogate test shows that the magnitude time series reflects the non-linearity of the return series, which helps to reveal that the KOSDAQ index, one of the emerging markets, shows higher volatility than a mature market such as the {S&P} 500 index.
Kim Seunghwan
Oh Gabjin
Um Cheol-Jun
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