Statistical Properties of the Returns of Stock Prices of International Markets
GabJin Oh, Cheol-Jun Um, Seunghwan Kim
Abstract
We investigate statistical properties of daily international market indices of seven countries, and high-frequency S&P500 and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-law distribution with an exponent of ζ≈ 3, while the Korean stock market follows an exponential distribution with an exponent of β≈ 0.7. The Hurst exponent analysis of the original return, and its magnitude and sign series, reveal that the long-term-memory property, which is absent in the returns and sign series, exists in the magnitude time series with 0.7 ≤ H ≤ 0.8. The surrogate test shows that the magnitude time series reflects the non-linearity of the return series, which helps to reveal that the KOSDAQ index, one of the emerging markets, shows higher volatility than a mature market such as the S&P 500 index.
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