Statistical properties of trading activity in Chinese stock market | Zendy

Xiaoqian Sun | Zendy; Xueqi Cheng | Zendy; Huawei Shen | Zendy; Zhaoyang Wang | Zendy

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Statistical properties of trading activity in Chinese stock market

Author(s) -

Xiaoqian Sun,

Xueqi Cheng,

Huawei Shen,

Zhaoyang Wang

Publication year - 2010

Publication title -

physics procedia

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.26

H-Index - 61

ISSN - 1875-3892

DOI - 10.1016/j.phpro.2010.07.008

Subject(s) - cumulative distribution function , stock exchange , econometrics , stock (firearms) , commission , china , stock market , power law , business , financial economics , probability density function , statistics , economics , finance , mathematics , geography , context (archaeology) , archaeology

We investigate the statistical properties of traders’ trading behavior using cumulative distribution function(CDF). We analyze exchange data of 52 stocks for one-year period which contains non-manipulated stocks and manipulated stocks published by China Securities Regulatory Commission(CSRC). By analyzing the total number of transactions and the trading volume of each trader over a year, we find the cumulative distributions have power-law tails and the distributions between non-manipulated stocks and manipulated stocks are different. These findings can help us to detect the manipulated stocks

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