Financial earthquakes, aftershocks and scaling in emerging stock markets
dc.citation.epage | 316 | en_US |
dc.citation.issueNumber | 1-4 | en_US |
dc.citation.spage | 306 | en_US |
dc.citation.volumeNumber | 333 | en_US |
dc.contributor.author | Selçuk, F. | en_US |
dc.date.accessioned | 2016-02-08T10:27:30Z | |
dc.date.available | 2016-02-08T10:27:30Z | |
dc.date.issued | 2004 | en_US |
dc.department | Department of Economics | en_US |
dc.description.abstract | 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. | en_US |
dc.identifier.doi | 10.1016/j.physa.2003.10.060 | en_US |
dc.identifier.eissn | 1873-2119 | |
dc.identifier.issn | 0378-4371 | |
dc.identifier.uri | http://hdl.handle.net/11693/24319 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier BV | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1016/j.physa.2003.10.060 | en_US |
dc.source.title | Physica A : Statistical Mechanics and its Applications | en_US |
dc.subject | Emerging markets | en_US |
dc.subject | Multifractality | en_US |
dc.subject | Omori's law | en_US |
dc.subject | Scaling | en_US |
dc.subject | Stock market | en_US |
dc.subject | Volatility | en_US |
dc.subject | Data reduction | en_US |
dc.subject | Earthquakes | en_US |
dc.subject | Estimation | en_US |
dc.subject | Fractals | en_US |
dc.subject | Laws and legislation | en_US |
dc.subject | Time series analysis | en_US |
dc.subject | Finance | en_US |
dc.title | Financial earthquakes, aftershocks and scaling in emerging stock markets | en_US |
dc.type | Article | en_US |
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