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- Title
Taylor's Law of Temporal Fluctuation Scaling in Stock Illiquidity.
- Authors
Cai, Qing; Xu, Hai-Chuan; Zhou, Wei-Xing
- Abstract
Taylor's law of temporal fluctuation scaling, variance , is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a solid temporal fluctuation scaling law in stock illiquidity by investigating the mean-variance relationship of the high-frequency illiquidity of almost all stocks traded on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) during the period from 1999 to 2011. Taylor's law holds for A-share markets (SZSE Main Board, SZSE Small & Mediate Enterprise Board, SZSE Second Board, and SHSE Main Board) and B-share markets (SZSE B-share and SHSE B-share). We find that the scaling exponent is greater than 2 for the A-share markets and less than 2 for the B-share markets. We further unveil that Taylor's law holds for stocks in 17 industry categories, in 28 industrial sectors and in 31 provinces and direct-controlled municipalities with the majority of scaling exponents . We also investigate the -min illiquidity and find that the scaling exponent increases logarithmically for small values and decreases fast to a stable level.
- Subjects
STOCKS (Finance); LIQUIDITY (Economics); LIQUIDATION; VARIANCES; SECURITIES
- Publication
Fluctuation & Noise Letters, 2016, Vol 15, Issue 4, p-1
- ISSN
0219-4775
- Publication type
Article
- DOI
10.1142/S0219477516500292