Eur. Phys. J. B 62, 113-119 (2008)
https://doi.org/10.1140/epjb/e2008-00123-0

Volatility return intervals analysis of the Japanese market

¹ Center for Polymer Studies and Department of Physics, Boston University, Boston, MA, 02215, USA
² Center for Complex Systems and Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon, 305-701, Republic of Korea
³ Minerva Center and Department of Physics, Bar-Ilan University, Ramat-Gan, 52900, Israel
⁴ Division of Social Sciences, International Christian University, Tokyo, 181-8585, Japan

Corresponding author: ^a wsjung@physics.bu.edu

Received: 11 September 2007
Revised: 18 February 2008
Published online: 21 March 2008

Abstract

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval τ and its mean 〈τ〉. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.