Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong
نویسندگان
چکیده
This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six di¤erent countries for the 12-year period from Jan. 1 1990 to Dec.31 2001. New York market is found to be the strongest among the six in terms of market e¢ ciency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but di¤erent in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that theTokyo market is more e¢ cient than the Singapore market. The Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the two most volatile markets among the six. Notably, the Taiwanese market is weaker than the Korean market in dissipating volatility.
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