Empirical Study on the Volatility of the Hang-Seng Index
CAI Shi-Min1, ZHOU Pei-Ling1, YANG Hui-Jie2, YANG Chun-Xia1, WANG Bing-Hong2, ZHOU Tao1,2
1Department of Electronic Science and Technology, University of Science and Technology of China, Hefei 230026
2Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China,
Hefei 230026
Empirical Study on the Volatility of the Hang-Seng Index
CAI Shi-Min1;ZHOU Pei-Ling1;YANG Hui-Jie2;YANG Chun-Xia1;WANG Bing-Hong2;ZHOU Tao1,2
1Department of Electronic Science and Technology, University of Science and Technology of China, Hefei 230026
2Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China,
Hefei 230026
Abstract： We study the statistical properties of volatility of price fluctuation for the Hang-Seng index in the Hong Kong stock market, they are measured by locally averaging over a time window T, the absolute value of price change over a short time interval Δt. The data include minute-by-minute records of the Hang-Seng index from 3 January 1994 to 28 May 1997. We find that the cumulative distribution of the volatility is consistent with the asymptotic power-law behaviour, characterized by the power exponent μ=2.12 ± 0.04, different from that found in the previous studies as μ approx 3. The volatility distribution remains the same asymptotic power-law behaviour for the time scales from T=10 min to T=80 min. Furthermore, we investigate the volatility correlations by using the power spectrum analysis and detrended fluctuation analysis. Both the methods show a long-range power-law decay with the exponent α=0.636±0.002.
CAI Shi-Min;ZHOU Pei-Ling;YANG Hui-Jie;YANG Chun-Xia;WANG Bing-Hong;ZHOU Tao;. Empirical Study on the Volatility of the Hang-Seng Index[J]. 中国物理快报, 2006, 23(3): 754-757.
CAI Shi-Min, ZHOU Pei-Ling, YANG Hui-Jie, YANG Chun-Xia, WANG Bing-Hong, ZHOU Tao,. Empirical Study on the Volatility of the Hang-Seng Index. Chin. Phys. Lett., 2006, 23(3): 754-757.
2006, Vol. 23 
