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On The Application Of The Cross-Correlations In The Chinese Fund Market: Descriptive Properties And Scaling Behaviors

Author

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  • WEIBING DENG

    (ISMANS, 44, Ave. Bartholdi, 72000 Le Mans, France;
    Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China;
    LPEC, UMR CNRS 6087, Universite du Maine, 72085 Le Mans, France)

  • WEI LI

    (Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China;
    Max-Planck Institute for Mathematics in the Sciences, Inselstr. 22–26, D-04103 Leipzig, Germany)

  • XU CAI

    (Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China)

  • QIUPING A. WANG

    (ISMANS, 44, Ave. Bartholdi, 72000 Le Mans, France;
    LPEC, UMR CNRS 6087, Universite du Maine, 72085 Le Mans, France)

Abstract

On the basis of the relative daily logarithmic returns of 88 different funds in the Chinese fund market (CFM) from June 2005 to October 2009, we construct the cross-correlation matrix of the CFM. It is shown that the logarithmic returns follow an exponential distribution, which is commonly shared by some emerging markets. We hereby analyze the statistical properties of the cross-correlation coefficients in different time periods, such as the distribution, the mean value, the standard deviation, the skewness and the kurtosis. By using the method of the scaled factorial moment, we observe the intermittence phenomenon in the distribution of the cross-correlation coefficients. Also by employing the random matrix theory (RMT), we find a few isolated large eigenvalues of the cross-correlation matrix, and the distribution of eigenvalues exhibits the power-law tails. Furthermore, we study the features of the correlation strength with a simple definition.

Suggested Citation

  • Weibing Deng & Wei Li & Xu Cai & Qiuping A. Wang, 2011. "On The Application Of The Cross-Correlations In The Chinese Fund Market: Descriptive Properties And Scaling Behaviors," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 97-109.
    • Handle: RePEc:wsi:acsxxx:v:14:y:2011:i:01:n:s0219525911002871
    DOI: 10.1142/S0219525911002871
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    References listed on IDEAS

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    1. Okada, Akira, 2010. "Toshiji Kawagoe, Experimental Economics," Economic Review, Hitotsubashi University, vol. 61(1), pages 85-87, January.
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