Nonextensive statistical features of the Polish stock market fluctuations

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here, we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999–31.10.2005 for the time lags ranging from 1min up to 1 h. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power law, as identified previously for majority of the mature markets. Within the time scales studied, a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single q-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter q was found to systematically decrease when increasing the time scales. The temporal correlations quantified here in terms of multifractality provide further arguments in favor of nonextensivity.