Financial earthquakes, aftershocks and scaling in emerging stock markets

dc.citation.epage316en_US
dc.citation.issueNumber1-4en_US
dc.citation.spage306en_US
dc.citation.volumeNumber333en_US
dc.contributor.authorSelçuk, F.en_US
dc.date.accessioned2016-02-08T10:27:30Z
dc.date.available2016-02-08T10:27:30Z
dc.date.issued2004en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.physa.2003.10.060en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24319
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2003.10.060en_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.subjectEmerging marketsen_US
dc.subjectMultifractalityen_US
dc.subjectOmori's lawen_US
dc.subjectScalingen_US
dc.subjectStock marketen_US
dc.subjectVolatilityen_US
dc.subjectData reductionen_US
dc.subjectEarthquakesen_US
dc.subjectEstimationen_US
dc.subjectFractalsen_US
dc.subjectLaws and legislationen_US
dc.subjectTime series analysisen_US
dc.subjectFinanceen_US
dc.titleFinancial earthquakes, aftershocks and scaling in emerging stock marketsen_US
dc.typeArticleen_US

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