Study of Characteristic and Period of Communication and Electronics Industry in Chinese Securities Market

Xiaobo WEN, Liang ZHAO, Hui WANG, Heping PAN

Abstract


Purpose: This study aims to analyze the characteristics of communication and electronics industry in Chinese stock market and calculate the average periods of it. Design/methodology/approach: We use R/S analysis method to study the characteristics of communication and electronics industry in Chinese stock market, and use Matlab software and Eviews software to calculate some representative exponents of this industry. Findings: The results show that the probability distribution of the communication and electronics industry in the Chinese stock market is nearly non-normal distribution, but a partial distribution, showing a peak, thick tail, migraine and other features. Hurst exponent calculated shows that the communication and electronics industry in the Chinese stock market has obvious fractal characteristics, and does not follow a random walk assumption, but follows persistent trend. The average big circulation period is about 400 days; the average small circulation period is about 200 days. Research limitations/implications: We use R/S analysis method to study the characteristics including periods and venture.of communication and electronics industry in Chinese stock market. Practical implications: The average periods and related venture can give investors properly suggestions. Originality/Value: We use R/S analysis method and Matlab software and Eviews software to analyze the characteristics of communication and electronics industry in Chinese stock market which has barely been studied. The results unfold the characteristics of this industry and can give investors properly suggestions as well.

Key words: Stock market; Fractal; R/S analysis; Hurst exponent; Periods; Communication and electronics


Keywords


Stock market; Fractal; R/S analysis; Hurst exponent; Periods; Communication and electronics

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DOI: http://dx.doi.org/10.3968/j.css.1923669720120804.1168

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