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Spatial and temporal structures of four financial markets in Greater China

Author

Listed:
  • F. Y. Ouyang
  • B. Zheng
  • X. F. Jiang

Abstract

We 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.

Suggested Citation

  • F. Y. Ouyang & B. Zheng & X. F. Jiang, 2014. "Spatial and temporal structures of four financial markets in Greater China," Papers 1402.1046, arXiv.org.
  • Handle: RePEc:arx:papers:1402.1046
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    References listed on IDEAS

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    Cited by:

    1. Jiang, Xiong-Fei & Zheng, Bo & Ren, Fei & Qiu, Tian, 2017. "Localized motion in random matrix decomposition of complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 154-161.
    2. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.

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