文献类型：期刊文献

英文题名：Tests of nonuniversality of the stock return distributions in an emerging market

作者：Mu, Guo-Hua[1,2,3];Zhou, Wei-Xing[1,2,3,4,5]

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;[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

年份：2010

卷号：82

期号：6

外文期刊名：PHYSICAL REVIEW E

收录：;EI(收录号：20110313595235);WOS:【SSCI(收录号:WOS:000286738900002)，SCI-EXPANDED(收录号:WOS:000286738900002)】；

基金：We thank gratefully the anonymous referees for their insightful suggestions. We acknowledge financial supports from the National Natural Science Foundation of China under Grant No. 11075054 and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Commerce - Time measurement - Probability distributions - Investments

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.