K. Matia et al 2004 Europhys. Lett. 66 909 doi:10.1209/epl/i2003-10267-y
K. Matia1, M. Pal2, H. Salunkay3 and H. E. Stanley1
Show affiliationsClassic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power law probability density function P(g) ~ g−(α + 1) with exponent values α > 2. To test the ubiquity of this relationship we analyze daily returns for the period November 1994–June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest trade volume in India. We find the surprising result that P(g) decays as an exponential function P(g) ~ exp [ − βg] with a characteristic decay scale β = 1.51 ± 0.05 for the negative tail and β = 1.34 ± 0.04 for the positive tail. The exponential function is significantly different from the power law function observed for highly developed economies. Thus, we conclude that the stock market of the less highly developed economy of India belongs to a different class from that of highly developed countries.
Issue 6 (June 2004)
Received 12 November 2003, accepted for publication 19 April 2004, in final form 19 April 2004
K. Matia et al 2004 Europhys. Lett. 66 909
W. F. Brisken et al. 2003 The Astronomical Journal 126 3090
Jianghui Ji et al 2003 ApJ 591 L57
Su Li et al 2009 Nanotechnology 20 495604