IDEAS home Printed from https://ideas.repec.org/a/wsi/acsxxx/v14y2011i01ns0219525911002871.html
   My bibliography  Save this article

On The Application Of The Cross-Correlations In The Chinese Fund Market: Descriptive Properties And Scaling Behaviors

Author

Listed:
  • WEIBING DENG

    (ISMANS, 44, Ave. Bartholdi, 72000 Le Mans, France;
    Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China;
    LPEC, UMR CNRS 6087, Universite du Maine, 72085 Le Mans, France)

  • WEI LI

    (Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China;
    Max-Planck Institute for Mathematics in the Sciences, Inselstr. 22–26, D-04103 Leipzig, Germany)

  • XU CAI

    (Complexity Science Center & Institute of Particle Physics, Hua-Zhong (Central China), Normal University, Wuhan 430079, China)

  • QIUPING A. WANG

    (ISMANS, 44, Ave. Bartholdi, 72000 Le Mans, France;
    LPEC, UMR CNRS 6087, Universite du Maine, 72085 Le Mans, France)

Abstract

On the basis of the relative daily logarithmic returns of 88 different funds in the Chinese fund market (CFM) from June 2005 to October 2009, we construct the cross-correlation matrix of the CFM. It is shown that the logarithmic returns follow an exponential distribution, which is commonly shared by some emerging markets. We hereby analyze the statistical properties of the cross-correlation coefficients in different time periods, such as the distribution, the mean value, the standard deviation, the skewness and the kurtosis. By using the method of the scaled factorial moment, we observe the intermittence phenomenon in the distribution of the cross-correlation coefficients. Also by employing the random matrix theory (RMT), we find a few isolated large eigenvalues of the cross-correlation matrix, and the distribution of eigenvalues exhibits the power-law tails. Furthermore, we study the features of the correlation strength with a simple definition.

Suggested Citation

  • Weibing Deng & Wei Li & Xu Cai & Qiuping A. Wang, 2011. "On The Application Of The Cross-Correlations In The Chinese Fund Market: Descriptive Properties And Scaling Behaviors," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 97-109.
  • Handle: RePEc:wsi:acsxxx:v:14:y:2011:i:01:n:s0219525911002871
    DOI: 10.1142/S0219525911002871
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219525911002871
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219525911002871?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Okada, Akira, 2010. "Toshiji Kawagoe, Experimental Economics," Economic Review, Hitotsubashi University, vol. 61(1), pages 85-87, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Li-Ju & Hu, Shih-Wen & Wang, Vey & Wen, Jiandong & Ye, Chusheng, 2014. "The effects of purchasing and price subsidy policies for agricultural products under target zones," Economic Modelling, Elsevier, vol. 43(C), pages 439-447.
    2. Steffen Schuldenzucker & Sven Seuken & Stefano Battiston, 2017. "The Computational Complexity of Financial Networks with Credit Default Swaps," Papers 1710.01578, arXiv.org, revised May 2019.
    3. Christina Grundström & Roland Sjöström & Anders Uddenberg & Anna Öhrwall Rönnbäck, 2012. "FAST-GROWING SMEs AND THE ROLE OF INNOVATION," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-19.
    4. Scott A. Beaulier & Franklin G. Mixon & Richard J. Cebula, 2014. "Can't see the tacking for the trees? Try a Coasian solution," Chapters, in: Franklin G. Mixon & Richard J. Cebula (ed.), New Developments in Economic Education, chapter 11, pages 126-132, Edward Elgar Publishing.
    5. R. Alexander Bentley & Paul Ormerod, 2012. "Accelerated Innovation And Increased Spatial Diversity Of Us Popular Culture," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(01n02), pages 1-13.
    6. YANSONG HU & DAMIEN McLOUGHLIN, 2012. "Managing Quality And Network Effects In The High-Tech Market: The Case Of Research And Development Tools In Life Science Industry," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-28.
    7. Cui, Borui & Wang, Shengwei & Sun, Yongjun, 2014. "Life-cycle cost benefit analysis and optimal design of small scale active storage system for building demand limiting," Energy, Elsevier, vol. 73(C), pages 787-800.
    8. Bruno Galantucci & Gareth Roberts, 2012. "Experimental Semiotics: An Engine Of Discovery For Understanding Human Communication," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(03n04), pages 1-13.
    9. Qinghua Wu & Jin-Kao Hao, 2013. "An Extraction And Expansion Approach For Graph Coloring," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 30(05), pages 1-18.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:14:y:2011:i:01:n:s0219525911002871. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.