Statistical Properties of the Returns of Stock Prices of International Markets

Oh, GabJin; Um, Cheol-Jun; Kim, Seunghwan

Statistical Properties of the Returns of Stock Prices of International Markets

Authors

Oh, GabJin

Um, Cheol-Jun

Kim, Seunghwan

Description

We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-law distribution with an exponent of $ζ\approx 3$, while the Korean stock market follows an exponential distribution with an exponent of $β\approx 0.7$. The Hurst exponent analysis of the original return, and its magnitude and sign series, reveal that the long-term-memory property, which is absent in the returns and sign series, exists in the magnitude time series with $0.7 \leq H \leq 0.8$. The surrogate test shows that the magnitude time series reflects the non-linearity of the return series, which helps to reveal that the KOSDAQ index, one of the emerging markets, shows higher volatility than a mature market such as the {S&P} 500 index.
5 pages, 5 figures