Statistical properties of German Dax and Chinese indices

✍ Scribed by T. Qiu; B. Zheng; F. Ren; S. Trimper

• Publisher: Elsevier Science
• Year: 2007
• Tongue: English
• Weight: 501 KB
• Volume: 378
• Category: Article
• ISSN: 0378-4371
• DOI: 10.1016/j.physa.2006.12.016

✦ Synopsis

We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may show irregular dynamic behavior. At the daily time scale, the volatility distribution, autocorrelation function and DFA function of the Chinese indices are qualitatively similar to those of the German Dax, while the return-volatility correlation function exhibits an anti-leverage effect, different from the leverage effect of the German Dax.