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Statistical Properties of the Returns of Stock Prices of International Markets

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  • GabJin Oh
  • Cheol-Jun Um
  • Seunghwan Kim

Abstract

We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-law distribution with an exponent of $\zeta \approx 3$, while the Korean stock market follows an exponential distribution with an exponent of $\beta \approx 0.7$. The Hurst exponent analysis of the original return, and its magnitude and sign series, reveal that the long-term-memory property, which is absent in the returns and sign series, exists in the magnitude time series with $0.7 \leq H \leq 0.8$. The surrogate test shows that the magnitude time series reflects the non-linearity of the return series, which helps to reveal that the KOSDAQ index, one of the emerging markets, shows higher volatility than a mature market such as the {S&P} 500 index.

Suggested Citation

  • GabJin Oh & Cheol-Jun Um & Seunghwan Kim, 2006. "Statistical Properties of the Returns of Stock Prices of International Markets," Papers physics/0601126, arXiv.org.
  • Handle: RePEc:arx:papers:physics/0601126
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    Cited by:

    1. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    2. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
    3. repec:ere:journl:v:xxxvi:y:2017:i:1:p:1-24 is not listed on IDEAS

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