Title :
A Prospective Study of the Price Behaviors of Chinese Stock Markets
Author :
Feng, Zheng ; Runtong, Zhang ; Lingyun, He
Author_Institution :
Beijing Jiaotong Univ., Beijing
Abstract :
Based on analogous Zipf analysis method, our paper presents the similarities and differences of price behaviors between Shanghai and Shenzhen Stock market. We have analyzed the up-down information of the price fluctuations in two markets, and identified two critical points, at which the heterogeneous agents transit their trading behaviors, and three phases in them respectively. Although two markets present similarities in phase transactions, there exist differences in the price behaviors and formation mechanisms of price. Furthermore different phase is controlled by noise traders or fundamentalists; the behavior of them induces the structure of markets.
Keywords :
pricing; stock markets; Chinese stock markets; Shanghai stock market; Shenzhen stock market; analogous Zipf analysis method; price behaviors; Educational institutions; Failure analysis; Fluctuations; Frequency; Helium; Information analysis; Performance analysis; Phase noise; Portfolios; Stock markets; Analogous Zipf analysis; Shanghai and Shenzhen Stock market; price behavior;
Conference_Titel :
Control Conference, 2007. CCC 2007. Chinese
Conference_Location :
Hunan
Print_ISBN :
978-7-81124-055-9
Electronic_ISBN :
978-7-900719-22-5
DOI :
10.1109/CHICC.2006.4346960
