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Statistical properties of stock market indices of different economies

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  • Lan, Boon Leong
  • Tan, Ying Oon

Abstract

Daily changes in the logarithm of stock market index from 1997 to 2004 are analyzed for countries from three subgroups of economies classified by the International Monetary Fund (IMF): developing Asian countries, newly industrialized Asian economies and major advanced economies. For all markets, the daily changes are well fitted by a non-Gaussian stable probability density. The time evolution of the standard deviation of the daily changes for each market obeys a power law. However, the developing Asian countries have the smallest stable density characteristic parameters α and the largest exponents b of the power law, except China's SSEC and India's SENSEX. The values of α and b for these two markets are closer to those of the newly industrialized Asian economies; in particular, those for China's SSEC are close to those for Hong Kong's HSI. The values of α and b for the newly industrialized Asian economies are in between those for the developing Asian countries and major advanced economies, consistent with the results for generalized Hurst exponent [Physica A 324 (2003) 183]. The daily changes for the developing Asian countries and newly industrialized Asian economies have a weak long-range correlation, whereas the daily changes for the major advanced economies have a weak long-range anti-correlation.

Suggested Citation

  • Lan, Boon Leong & Tan, Ying Oon, 2007. "Statistical properties of stock market indices of different economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 605-611.
    • Handle: RePEc:eee:phsmap:v:375:y:2007:i:2:p:605-611
    DOI: 10.1016/j.physa.2006.10.028
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    Citations

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    Cited by:

    1. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2009. "Forbidden patterns, permutation entropy and stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2854-2864.
    2. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
    3. Mahesh S. Khadka & K. M. George & N. Park & J. B. Kim, 2012. "Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting," Papers 1209.4608, arXiv.org, revised May 2013.
    4. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
    5. Yin, Yi & Shang, Pengjian, 2016. "Weighted permutation entropy based on different symbolic approaches for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 137-148.
    6. Qin, Guyue & Shang, Pengjian, 2021. "Analysis of time series using a new entropy plane based on past entropy," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).

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