Spatial and temporal structures of four financial markets in Greater China

We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hong Kong stock markets show a negative return-volatility correlation, i.e., the so-called leverage effect. The Shanghai and Shenzhen stock markets are more complicated. Before the year 2000, the two markets exhibited a strong positive return-volatility correlation, which is called the anti-leverage effect. After 2000, however, it gradually changed to the leverage effect. We also find that the recurrence interval distributions of both the trading volume volatilities and price volatilities follow a power law behavior, while the exponents vary among different markets.