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Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets

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  • Hai-Chin Yu
  • Ming-Chang Huang

Abstract

This study examines the statistical properties of volatility among New York, Tokyo, Taiwan, South Korea, Singapore and Hong Kong stock markets. Fractal dimensions, probability distribution and two-point volatility correlation are used to measure and compare volatility among the six over the 12-year period from 1 January 1990 to 31 December 2001. New York market is found to be the strongest among all in terms of market efficiency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but different in their resistance to volatility: Tokyo has a higher ability to dissipate volatility. This phenomenon implies that the Tokyo market is more efficient than the Singapore market. Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, Taiwanese and Korean markets are the most two volatile markets among the six, but Taiwanese market is weaker than the Korean market in dissipating volatility.

Suggested Citation

  • Hai-Chin Yu & Ming-Chang Huang, 2004. "Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1087-1095.
  • Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1087-1095
    DOI: 10.1080/09603100412331297694
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    References listed on IDEAS

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    1. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
    2. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
    3. Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
    4. Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
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    Cited by:

    1. Virginia Liu & Francis Tapon & Yiguo Sun, 2006. "Stock return volatility and the internet phenomenon," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 105-109, March.

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