Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong
This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 1990 to Dec. 31 2001. New York market is found to be the strongest among the six 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. The Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the two most volatile markets among the six. Notably, the Taiwanese market is weaker than the Korean market in dissipating volatility.
|Date of creation:||12 Aug 2003|
|Date of revision:||18 Aug 2003|
|Note:||Type of Document - Tex; prepared on IBM PC ; to print on HP/PostScript/Franciscan monk; pages: 34; figures: included/request from author/draw your own. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Chan, Yue-cheong & John Wei, K. C., 1996. "Political risk and stock price volatility: The case of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 259-275, July.
- Allen, Franklin & Gale, Douglas, 1998.
98-33, C.V. Starr Center for Applied Economics, New York University.
- Schwert, G.W., 1989.
"Stock Volatility And The Crash Of '87,"
89-01, Rochester, Business - General.
- Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1997. "Common volatility in the industrial structure of global capital markets," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 189-209, April.
- Chang, Rosita P. & Ghon Rhee, S. & Soedigno, Susatio, 1995. "Price volatility of Indonesian stocks," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 337-355, July.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance,
American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0308002. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.