dorsal/arxiv
View SchemaStatistical Properties of the Returns of Stock Prices of International Markets
| Authors | GabJin Oh, Cheol-Jun Um, Seunghwan Kim |
|---|---|
| Categories | |
| ArXiv ID | physics/0601126 |
| URL | https://arxiv.org/abs/physics/0601126 |
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 $\zeta \approx 3$, while the Korean stock market follows an exponential distribution with an exponent of $\beta \approx 0.7$. 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 $0.7 \leq H \leq 0.8$. 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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"abstract": "We investigate statistical properties of daily international market indices\nof seven countries, and high-frequency $S\u0026P500$ and KOSDAQ data, by using the\ndetrended fluctuation method and the surrogate test. We have found that the\nreturns of international stock market indices of seven countries follow a\nuniversal power-law distribution with an exponent of $\\zeta \\approx 3$, while\nthe Korean stock market follows an exponential distribution with an exponent of\n$\\beta \\approx 0.7$. The Hurst exponent analysis of the original return, and\nits magnitude and sign series, reveal that the long-term-memory property, which\nis absent in the returns and sign series, exists in the magnitude time series\nwith $0.7 \\leq H \\leq 0.8$. The surrogate test shows that the magnitude time\nseries reflects the non-linearity of the return series, which helps to reveal\nthat the KOSDAQ index, one of the emerging markets, shows higher volatility\nthan a mature market such as the {S\u0026P} 500 index.",
"arxiv_id": "physics/0601126",
"authors": [
"GabJin Oh",
"Cheol-Jun Um",
"Seunghwan Kim"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"title": "Statistical Properties of the Returns of Stock Prices of International Markets",
"url": "https://arxiv.org/abs/physics/0601126"
},
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