文献类型：期刊文献

英文题名：Statistical properties of daily ensemble variables in the Chinese stock markets

作者：Gu, Gao-Feng[1,2]; Zhou, Wei-Xing[1,2]

机构：[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

年份：2007

卷号：383

期号：2

起止页码：497

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20072810697256);WOS:【SSCI(收录号:WOS:000248632800027)，SCI-EXPANDED(收录号:WOS:000248632800027)】；

语种：英文

外文关键词：econophysics; ensemble return; variety; probability distribution; long memory; statistical test

摘要：We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble return and variety defined, respectively, as the mean and the standard deviation of the ensemble daily price return of a portfolio of stocks traded in China's stock markets on a given day. The distribution of the daily ensemble return has an exponential form in the center and power-law tails, while the variety distribution is lognormal in the bulk followed by a power-law tail for large variety. Based on detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find evidence of long memory in the ensemble return and strong evidence of long memory in the evolution of variety. (c) 2007 Elsevier B.V. All rights reserved.