Peculiar statistical properties of Chinese stock indices in bull and bear market phases

@inproceedings{Zhou2009PeculiarSP,
  title={Peculiar statistical properties of Chinese stock indices in bull and bear market phases},
  author={Wei Chu Zhou and Hai Cheng Xu and Zu Yun Cai and Jesse L Wei and X. Y. Zhu and Wei Wang and Lin-feng Zhao and Ji Ping Huang},
  year={2009}
}
Chinese stock markets have experienced an extraordinary bull market since Jan 2006, which attracted global eyes. We investigate the statistical properties of the indices’ log-return r(t) for the bull market (Jan 2006–Oct 2007) and the previous bear market (Jan 2001–Dec 2005). Here we report three peculiar features of r(t): (i) the cumulative distribution function curve of r(t) in the bull market is similar to that in the bear market; (ii) the autocorrelation function of r(t) in the bull market… CONTINUE READING