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	Tests of nonuniversality of the stock return distributions in an emerging market
	Mu, Guo-Hua1,2,3; Zhou, Wei-Xing1,2,3,4,5
刊名	Physical review e
	2010-12-02
卷号	82期号:6页码:8
ISSN号	1539-3755
DOI	10.1103/physreve.82.066103
通讯作者	Mu, guo-hua()
英文摘要	There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. it supports the possibility that the tail exponents are universal at least for mature markets in the sense that they do not depend on stock market, industry sector, and market capitalization. we investigate the distributions of intraday returns at different time scales (delta t = 1, 5, 15, and 30 min) of all the a-share stocks traded in the chinese stock market, which is the largest emerging market in the world. we find that the returns can be well fitted by the q-gaussian distribution and the tails have power-law relaxations with the exponents increasing with delta t and being well outside the levy stable regime for individual stocks. we provide statistically significant evidence showing that, at small time scales delta t<15 min, the exponents logarithmically decrease with the turnover rate and increase with the market capitalization. when delta t>15 min, no conclusive evidence is found for a possible dependence of the tail exponent on the turnover rate or the market capitalization. our findings indicate that the intraday return distributions at small time scales are not universal in emerging stock markets but might be universal at large time scales.
WOS关键词	PROBABILITY DENSITY-FUNCTIONS ; POWER-LAW DISTRIBUTIONS ; INVERSE-CUBIC LAW ; PRICE FLUCTUATIONS ; EMPIRICAL DISTRIBUTIONS ; FINANCIAL FLUCTUATIONS ; STATISTICAL PROPERTIES ; NONEXTENSIVE APPROACH ; SPECULATIVE PRICES ; INDEX
WOS研究方向	Physics
WOS类目	Physics, Fluids & Plasmas ; Physics, Mathematical
语种	英语
出版者	AMER PHYSICAL SOC
WOS记录号	WOS:000286738900002
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/2413036
专题	中国科学院大学
通讯作者	Mu, Guo-Hua
作者单位	1.E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China 2.E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China 3.E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China 4.E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China 5.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Mu, Guo-Hua,Zhou, Wei-Xing. Tests of nonuniversality of the stock return distributions in an emerging market[J]. Physical review e,2010,82(6):8.
APA	Mu, Guo-Hua,&Zhou, Wei-Xing.(2010).Tests of nonuniversality of the stock return distributions in an emerging market.Physical review e,82(6),8.
MLA	Mu, Guo-Hua,et al."Tests of nonuniversality of the stock return distributions in an emerging market".Physical review e 82.6(2010):8.

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