Chin. Phys. Lett.  2006, Vol. 23 Issue (3): 754-757    DOI:
Original Articles |
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
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CAI Shi-Min, ZHOU Pei-Ling, YANG Hui-Jie et al  2006 Chin. Phys. Lett. 23 754-757
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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.
Keywords: 89.90.+n      87.10.+e      89.65.Gh      89.75.Da     
Published: 01 March 2006
PACS:  89.90.+n (Other topics in areas of applied and interdisciplinary physics)  
  87.10.+e  
  89.65.Gh (Economics; econophysics, financial markets, business and management)  
  89.75.Da (Systems obeying scaling laws)  
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https://cpl.iphy.ac.cn/       OR      https://cpl.iphy.ac.cn/Y2006/V23/I3/0754
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CAI Shi-Min
ZHOU Pei-Ling
YANG Hui-Jie
YANG Chun-Xia
WANG Bing-Hong
ZHOU Tao
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