Title :
Return Intervals Analysis of the Hong Kong Stock Market
Author :
Zhang, Hong ; Wang, Nianpeng ; Dong, Keqiang
Author_Institution :
Coll. of Sci., Hebei Univ. of Eng., Handan, China
Abstract :
In this paper, we analyze the Hang Seng Index data for the 22-year period, from December 31, 1986, to June 6,2008 in the Hongkong stock market, a total of 5315 trading days. Using rescaled range method, we study how the threshold value q affects the correlations of the return intervals s r(tau ) between events above a certain threshold q. We find that: i) both return intervals obtained by different threshold q and the original series are arranged in long-range dependence behavior; ii) the correlations of the return intervals grow stronger when the threshold q is larger.
Keywords :
stock markets; Hang Seng Index data; Hongkong stock market; long-range dependence behavior; return intervals analysis; Computational intelligence; Earthquakes; Fluctuations; Fractals; Hydrologic measurements; Hydrology; Power generation economics; Statistics; Stock markets; Time series analysis; Hurst exponent; Return intervals; Time series;
Conference_Titel :
Computational Intelligence and Natural Computing, 2009. CINC '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-0-7695-3645-3
DOI :
10.1109/CINC.2009.108