Empirical Study on the Volatility of the Hang-Seng Index

Abstract

We study the statistical properties of volatility of pricefluctuation for the Hang-Seng index in the Hong Kong stock market,they are measured by locally averaging over a time window T, theabsolute value of price change over a short time intervalΔt. The data include minute-by-minute records of theHang-Seng index from 3 January 1994 to 28 May 1997. We find thatthe cumulative distribution of the volatility is consistent withthe asymptotic power-law behaviour, characterized by the powerexponent μ = 2.12±0.04, different from that found in theprevious studies as μ≈3. The volatility distributionremains the same asymptotic power-law behaviour for the time scalesfrom T = 10 min to T = 80 min. Furthermore, we investigatethe volatility correlations by using the power spectrum analysisand detrended fluctuation analysis. Both the methods show a long-rangepower-law decay with the exponent α = 0.636±0.002.