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The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market

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  • B.H. Wang

    (Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China, Hefei 230026, PR China)

  • P.M. Hui

    (Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, PR China)

Abstract

The statistical properties of the Hang Seng index in the Hong Kong stock market are analyzed. The data include minute by minute records of the Hang Seng index from January 3, 1994 to May 28, 1997. The probability distribution functions of index returns for the time scales from 1 minute to 128 minutes are given. The results show that the nature of the stochastic process underlying the time series of the returns of Hang Seng index cannot be described by the normal distribution. It is more reasonable to model it by a truncated Lévy distribution with an exponential fall-off in its tails. The scaling of the maximium value of the probability distribution is studied. Results show that the data are consistent with scaling of a Lévy distribution. It is observed that in the tail of the distribution, the fall-off deviates from that of a Lévy stable process and is approximately exponential, especially after removing daily trading pattern from the data. The daily pattern thus affects strongly the analysis of the asymptotic behavior and scaling of fluctuation distributions.

Suggested Citation

  • B.H. Wang & P.M. Hui, 2001. "The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 573-579, April.
    • Handle: RePEc:spr:eurphb:v:20:y:2001:i:4:d:10.1007_pl00022987
    DOI: 10.1007/PL00022987
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    Citations

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    Cited by:

    1. Yuan, Ying & Zhuang, Xin-tian, 2008. "Multifractal description of stock price index fluctuation using a quadratic function fitting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 511-518.
    2. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
    3. Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.
    4. Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 71-82, Autumn.
    5. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu, 2009. "Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2189-2197.
    6. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    7. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
    8. Sun, Xiao-Qian & Cheng, Xue-Qi & Shen, Hua-Wei & Wang, Zhao-Yang, 2011. "Distinguishing manipulated stocks via trading network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3427-3434.
    9. Chang, Lo-Bin & Geman, Stuart, 2013. "Empirical scaling laws and the aggregation of non-stationary data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5046-5052.
    10. Pan, Raj Kumar & Sinha, Sitabhra, 2008. "Inverse-cubic law of index fluctuation distribution in Indian markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2055-2065.
    11. Shi, Xiaoping & Wu, Yuehua & Miao, Baiqi, 2009. "Strong convergence rate of estimators of change point and its application," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 990-998, February.
    12. Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang, 2011. "Distinguishing manipulated stocks via trading network analysis," Papers 1110.2260, arXiv.org.

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