Multiscale Power-Law Properties and Criticality of Chinese Stock Market

Motivated by the goal of discovering more accurate characteristics of Chinese stock market, this paper investigates the power-law properties and criticality of the Shanghai Securities Exchange Compound Index (SSEECI) with two benchmarks of 5-min and 1-day database. We find that the center profile of returns distribution is well described by Levy regime and, more important, that the approximately symmetric tails of distribution are characterized by another power-law regime with an exponent well out of Levy range 0<alpha<2 and also beyond the exponent alphaap3 of fully developed markets. Moreover, we also show that returns appear to exhibit the criticality. When timescale Deltat>4days, the distribution exhibits the slow convergence to normal Gaussian behavior. The phenomena support that the critical timescale Deltatap4days of fully developed markets is universal for Chinese stock market.