Volatility return intervals analysis of the Japanese market

DOI10.1140/EPJB/E2008-00123-0zbMATH Open1189.91162arXiv0709.1725OpenAlexW2083596943MaRDI QIDQ978689FDOQ978689

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)

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.

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

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Mathematics Subject Classification ID

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

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Cited In (4)

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

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