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Statistical properties of German Dax and Chinese indices

Author

Listed:
  • Qiu, T.
  • Zheng, B.
  • Ren, F.
  • Trimper, S.

Abstract

We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may show irregular dynamic behavior. At the daily time scale, the volatility distribution, autocorrelation function and DFA function of the Chinese indices are qualitatively similar to those of the German Dax, while the return-volatility correlation function exhibits an anti-leverage effect, different from the leverage effect of the German Dax.

Suggested Citation

  • Qiu, T. & Zheng, B. & Ren, F. & Trimper, S., 2007. "Statistical properties of German Dax and Chinese indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 387-398.
    • Handle: RePEc:eee:phsmap:v:378:y:2007:i:2:p:387-398
    DOI: 10.1016/j.physa.2006.12.016
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    Citations

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    Cited by:

    1. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
    2. Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
    3. Jiang, X.F. & Chen, T.T. & Zheng, B., 2013. "Time-reversal asymmetry in financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5369-5375.
    4. Wiesław Dębski & Ewa Feder-Sempach & Szymon Wójcik, 2018. "Statistical Properties of Rates of Return on Shares Listed on the German, French, and Polish Markets – a Comparative Study," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    5. Fu, Yang & Zheng, Zeyu, 2020. "Volatility modeling and the asymmetric effect for China’s carbon trading pilot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    6. 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.
    7. Ren, F. & Zheng, B. & Chen, P., 2010. "Modeling interactions of trading volumes in financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2744-2750.
    8. Ren, Fei & Guo, Liang & Zhou, Wei-Xing, 2009. "Statistical properties of volatility return intervals of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 881-890.
    9. Ouyang, F.Y. & Zheng, B. & Jiang, X.F., 2014. "Spatial and temporal structures of four financial markets in Greater China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 236-244.
    10. Jun-Jie Chen & Bo Zheng & Lei Tan, 2013. "Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 8(11), pages 1-11, November.
    11. Zhang, Xu & Huang, Tao & Wang, Chunping & Zeng, Chunhua, 2023. "The temporal correlation of fluctuation–variation in the non-stationary complex climate system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    12. X. F. Jiang & T. T. Chen & B. Zheng, 2013. "Time-reversal asymmetry in financial systems," Papers 1308.0669, arXiv.org.
    13. Wang, Lei & Liu, Lutao, 2020. "Long-range correlation and predictability of Chinese stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).

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