| Empirical Study on the Volatility of the Hang-Seng Index |
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| 作者姓名： | 蔡世民 周佩玲 杨会杰 杨春霞 汪秉宏 周涛 |
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| 作者单位： | [1]Department of Electronic Science and Technology, University of Science and Technology of China, Hefei 230026 [2]Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China, Hefei 230026 |
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| 基金项目： | Supported by the National Natural Science Foundation of China under Grant Nos 70471033, 10472116, 10532060, 10547004, 70571074, and 70571075. |
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| 摘 要： | We study the statistical properties of volatility of price fluctuation for the Hang-Seng index in the Hong Kong stock market, they are measured by locally averaging over a time window T, the absolute value of price change over a short time interval Δt. The data include minute-by-minute records of the Hang-Seng index from 3 January 1994 to 28 May 1997. We find that the cumulative distribution of the volatility is consistent with the asymptotic power-law behaviour, characterized by the power exponent μ= 2.12 ± 0.04, different from that found in the previous studies as μ≈3. The volatility distribution remains the same asymptotic power-law behaviour for the time scales from T = 10 rain to T - 80 rain. Furthermore, we investigate the volatility correlations by using the power spectrum analysis and detrended fluctuation analysis. Both the methods show a long-range power-law decay with the exponent α=0.636±0.002.
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| 关 键 词： | 统计特性 挥发性 香港 股票市场 数学经济学 |
| 收稿时间： | 2005-11-29 |
| 修稿时间： | 2005-11-29 |
Empirical Study on the Volatility of the Hang-Seng Index |
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| CAI Shi-Min, ZHOU Pei-Ling, YANG Hui-Jie, YANG Chun-Xia, WANG Bing-Hong, ZHOU Tao.Empirical Study on the Volatility of the Hang-Seng Index[J].Chinese Physics Letters,2006,23(3):754-757. |
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| Authors: | CAI Shi-Min ZHOU Pei-Ling YANG Hui-Jie YANG Chun-Xia WANG Bing-Hong ZHOU Tao |
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