Statistical Properties of the Returns of Stock Prices of International Markets
| dc.creator | Oh, GabJin | |
| dc.creator | Um, Cheol-Jun | |
| dc.creator | Kim, Seunghwan | |
| dc.date | 2006-01-18 | |
| dc.date.accessioned | 2026-07-07T12:07:42Z | |
| dc.date.available | 2026-07-07T12:07:42Z | |
| dc.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. | |
| dc.description | 5 pages, 5 figures | |
| dc.identifier | https://arxiv.org/abs/physics/0601126 | |
| dc.identifier | http://arxiv.org/abs/physics/0601126 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209062 | |
| dc.subject | Data Analysis, Statistics and Probability | |
| dc.subject | Statistical Finance | |
| dc.title | Statistical Properties of the Returns of Stock Prices of International Markets | |
| dc.type | text |