Volatility return intervals analysis of the Japanese market

• Published in: The European physical journal. B, Condensed matter physics Vol. 62; no. 1; pp. 113 - 119
• Main Authors: Jung, W.-S., Wang, F. Z., Havlin, S., Kaizoji, T., Moon, H.-T., Stanley, H. E.
• Format: Journal Article
• Language: English
• Published: Les Ulis EDP Sciences 01.03.2008; Springer; EDP sciences
• Subjects: Applied sciences; Complex Systems; Condensed Matter Physics; Economics; Exact sciences and technology; Fluid- and Aerodynamics; General aspects; Interdisciplinary Physics; Physics; Physics and Astronomy; Solid State Physics; Asia; Japan; 89.75.Da Systems obeying scaling laws; 89.65.Gh Economics; econophysics, financial markets, business and management; 05.45.Tp Time series analysis; Scaling law; Inflation(economy); Return rate; Memory effect; Stock markets; Time series
• ISSN: 1434-6028; 1434-6036
• DOI: 10.1140/epjb/e2008-00123-0

. 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 τ and its mean 〈τ〉. 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.