Eur. Phys. J. B 57, 347-355 (2007)
https://doi.org/10.1140/epjb/e2007-00174-7

Endogenous and exogenous dynamics in the fluctuations of capital fluxes

An empirical analysis of the Chinese stock market

¹ School of Business, East China University of Science and Technology, Shanghai, 200237, P.R. China
² School of Science, East China University of Science and Technology, Shanghai, 200237, P.R. China
³ Research Center of Systems Engineering, East China University of Science and Technology, Shanghai, 200237, P.R. China

Corresponding author: ^a wxzhou@ecust.edu.cn

Received: 4 March 2007
Revised: 22 May 2007
Published online: 22 June 2007

Abstract

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out on the Chinese stock market using mean-variance analysis, fluctuation analysis, and their generalizations to higher orders. Non-universal dynamics have been found not only in the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σ^exo / σ^endo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent H_i increase in logarithmic form with the time scale Δt and the mean traded value per minute 〈f_i 〉, respectively. We find that the scaling exponent α^endo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.