Browsing by Subject "Omori's law"
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Item Open Access Financial earthquakes, aftershocks and scaling in emerging stock markets(Elsevier BV, 2004) Selçuk, F.This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock returns is examined by relating the time after a main shock to the number of aftershocks per unit time. The empirical findings show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law decay, described by Omori's law. © 2003 Elsevier B.V. All rights reserved.Item Open Access Intraday dynamics of stock market returns and volatility(Elsevier BV, 2006) Selçuk, F.; Gençay, R.This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial "earthquake", aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. © 2006 Elsevier B.V. All rights reserved.