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Power law and multiscaling properties of the Chinese stock market

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  • Bai, Man-Ying
  • Zhu, Hai-Bo
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    Abstract

    We investigate the cumulative probability density function (PDF) and the multiscaling properties of the returns in the Chinese stock market. By using returns data adjusted for thin trading, we find that the distribution has power-law tails at shorter microscopic timescales or lags. However, the distribution follows an exponential law for longer timescales. Furthermore, we investigate the long-range correlation and multifractality of the returns in the Chinese stock market by the DFA and MFDFA methods. We find that all the scaling exponents are between 0.5 and 1 by DFA method, which exhibits the long-range power-law correlations in the Chinese stock market. Moreover, we find, by MFDFA method, that the generalized Hurst exponents h(q) are not constants, which shows the multifractality in the Chinese stock market. We also find that the correlation of Shenzhen stock market is stronger than that of Shanghai stock market.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 389 (2010)
    Issue (Month): 9 ()
    Pages: 1883-1890

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    Handle: RePEc:eee:phsmap:v:389:y:2010:i:9:p:1883-1890

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    Keywords: Cumulative probability density function; Power law; DFA; MFDFA; Multifractality;

    References

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    Cited by:
    1. Tomson Ogwang, 2011. "Power laws in top wealth distributions: evidence from Canada," Empirical Economics, Springer, Springer, vol. 41(2), pages 473-486, October.
    2. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    3. Ogwang, Tomson, 2013. "Is the wealth of the world’s billionaires Paretian?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 757-762.

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