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We investigate the spatial and temporal structures of four financial marketsin Greater China. In particular, we uncover different characteristics of thefour markets by analyzing the sector and subsector structures which aredetected through the random matrix theory. Meanwhile, we observe that theTaiwan and Hongkong stock markets show a negative return-volatilitycorrelation, i.e., the so-called leverage effect. The Shanghai and Shenzhenstock markets are more complicated. Before the year 2000, the two marketsexhibit a strong positive return-volatility correlation, which is called theanti-leverage effect. After 2000, however, it gradually changes to the leverageeffect. We also find that the recurrence interval distributions of both thetrading volume volatilities and price volatilities follow a power law behavior,while the exponents vary among different markets.

Spatial and temporal structures of four financial markets in Greater China