خواص آماری عجیب و غریب از شاخص های سهام چینی در فازهای بازار گاوی و خرسی

Chinese stock markets have experienced an extraordinary bull market since Jan 2006, which attracted global eyes. We investigate the statistical properties of the indices’ log-return r(t)r(t) for the bull market (Jan 2006–Oct 2007) and the previous bear market (Jan 2001–Dec 2005). Here we report three peculiar features of r(t)r(t): (i) the cumulative distribution function curve of r(t)r(t) in the bull market is similar to that in the bear market; (ii) the autocorrelation function of r(t)r(t) in the bull market has a stronger negative correlation and a shorter correlation time than that in the bear market; (iii) the bull market shows stronger long-term correlation than the bear market. This work has relevance to understanding novel statistical properties in economic systems.