Volatility return intervals analysis of the Japanese market

DOI10.1140/EPJB/E2008-00123-0MaRDI QIDQ978689zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.1725

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Abstract: We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval $au$ and its mean $<au>$. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.

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Cited in

(4)

• Return anomalies on the Nikkei: are they statistical illusions?
• Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
• Universal and non-universal properties of recurrence intervals of rare events
• Credit rating matters in contrarian return -- evidence from the Japanese equity market

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