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An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets

โœ Scribed by Yan He; Chunchi Wu; Yea-Mow Chen


Book ID
114344255
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
135 KB
Volume
12
Category
Article
ISSN
1059-0560

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Scaling and memory effect in volatility
โœ T. Qiu; L. Guo; G. Chen ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 919 KB

We investigate the probability distribution of the volatility return intervals ฯ„ for the Chinese stock market. We rescale both the probability distribution P q (ฯ„ ) and the volatility return intervals ฯ„ as P q (ฯ„ ) = 1/ฯ„ f (ฯ„ /ฯ„ ) to obtain a uniform scaling curve for different threshold value q. Th