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Peculiar statistical properties of Chinese stock indices in bull and bear market phases

Author

Listed:
  • Zhou, W.C.
  • Xu, H.C.
  • Cai, Z.Y.
  • Wei, J.R.
  • Zhu, X.Y.
  • Wang, W.
  • Zhao, L.
  • Huang, J.P.

Abstract

Chinese stock markets have experienced an extraordinary bull market since Jan 2006, which attracted global eyes. We investigate the statistical properties of the indices’ log-return r(t) for the bull market (Jan 2006–Oct 2007) and the previous bear market (Jan 2001–Dec 2005). Here we report three peculiar features of r(t): (i) the cumulative distribution function curve of r(t) in the bull market is similar to that in the bear market; (ii) the autocorrelation function of r(t) in the bull market has a stronger negative correlation and a shorter correlation time than that in the bear market; (iii) the bull market shows stronger long-term correlation than the bear market. This work has relevance to understanding novel statistical properties in economic systems.

Suggested Citation

  • Zhou, W.C. & Xu, H.C. & Cai, Z.Y. & Wei, J.R. & Zhu, X.Y. & Wang, W. & Zhao, L. & Huang, J.P., 2009. "Peculiar statistical properties of Chinese stock indices in bull and bear market phases," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 891-899.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:6:p:891-899
    DOI: 10.1016/j.physa.2008.11.028
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    Cited by:

    1. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    2. Lu Liu & Jianrong Wei & Jiping Huang, 2013. "Scaling and Volatility of Breakouts and Breakdowns in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 8(12), pages 1-6, December.
    3. Li, Jie & Zhang, Yongjie & Feng, Xu & An, Yahui, 2019. "Which kind of investor causes comovement?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 1-15.
    4. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.

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