Power tails of index distributions in chinese stock market

The power α of the Lévy tails of stock market fluctuations discovered in recent years are generally believed to be universal. We show that for the Chinese stock market this is not true, the powers depending strongly on anomalous daily index changes short before market closure, and weakly on the opening data.

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Year of publication:	2007
Authors:	Zhang, J.W. ; Zhang, Y. ; Kleinert, H.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 377.2007, 1, p. 166-172
Publisher:	Elsevier
Subject:	Power-law \| Lévy distribution \| Stock market index

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011058201