A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data e...A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis （DFA） of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.展开更多
This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three ...This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three factors from the microeconomic indicators （interest rate, remittances of Jordanian expatriates, and the loans provided by the Jordanian banks）. The results show that the stock market is more sensitive to the microeconomic indicators than the real estate market, and responds more rapidly than the real estate market for the changes in the microeconomic indicators. The study presents some recommendations for the Jordanian companies who own or manage any investment portfolio to be aware for the existing relationship between the two markets, and to reflect this awareness in their strategic Plans, Particularly in the regression atmosphere that causes by global crisis.展开更多
基金supported in part by National Natural Science Foundations of China under Grant Nos.70571027,70401020,10647125,and 10635020by the Ministry of Education of China under Grant No.306022
文摘A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis （DFA） of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.
文摘This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three factors from the microeconomic indicators （interest rate, remittances of Jordanian expatriates, and the loans provided by the Jordanian banks）. The results show that the stock market is more sensitive to the microeconomic indicators than the real estate market, and responds more rapidly than the real estate market for the changes in the microeconomic indicators. The study presents some recommendations for the Jordanian companies who own or manage any investment portfolio to be aware for the existing relationship between the two markets, and to reflect this awareness in their strategic Plans, Particularly in the regression atmosphere that causes by global crisis.
