Statistical Properties of Volatility in Fractal Dimension and Probability Distribution Among Six Stock Markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

Abstract:     
This study examines the statistical properties of volatility among New York, Tokyo, Taiwan, South Korea, Singapore, and Hong Kong stock markets. Fractal dimensions, probability distribution and two-point volatility correlation are used to measure and compare volatility among the six over the 12-year period from Jan. 1 1990 to Dec.31 2001. New York market is found to be the strongest among all in terms of market efficiency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but different in their resistance to volatility: Tokyo has a higher ability to dissipate volatility. This phenomenon implies that the Tokyo market is more efficient than the Singapore market. Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the most two volatile markets among the six, but Taiwanese market is weaker than the Korean market in dissipating volatility.

Number of Pages in PDF File: 33

Keywords: Volatility, fractal dimension, probability distribution

JEL Classification: G15

working papers series