Spatial and temporal structures of four financial markets in Greater China
AbstractWe investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hongkong stock markets show a negative return-volatility correlation, i.e., the so-called leverage effect. The Shanghai and Shenzhen stock markets are more complicated. Before the year 2000, the two markets exhibit a strong positive return-volatility correlation, which is called the anti-leverage effect. After 2000, however, it gradually changes to the leverage effect. We also find that the recurrence interval distributions of both the trading volume volatilities and price volatilities follow a power law behavior, while the exponents vary among different markets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1402.1046.
Date of creation: Feb 2014
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Publication status: Published in Physica A: Statistical Mechanics and its Applications Volume 402, 2014, Pages 236
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-08 (All new papers)
- NEP-FMK-2014-02-08 (Financial Markets)
- NEP-TRA-2014-02-08 (Transition Economics)
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