Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

TL;DR

This paper empirically analyzes the endogenous and exogenous factors influencing capital flux fluctuations in the Chinese stock market, revealing non-universal dynamics, scaling behaviors, and multifractal features.

Contribution

It introduces a comprehensive empirical analysis of endogenous and exogenous dynamics in stock market fluctuations, highlighting non-universal scaling and multifractal properties.

Findings

Scaling exponents vary with time scale and trading activity.

Endogenous fluctuation exponent is independent of time scale.

Multifractal features are observed in the data.

Abstract

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated 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 $\alpha$ exponents different from the universal value 1/2 and 1 but also in the distributions of the ratios $\eta_i = \sigma_i^{\rm{exo}} / \sigma_i^{\rm{endo}}$. Both the scaling exponent $\alpha$ of fluctuations and the Hurst exponent $H_i$ increase in logarithmic form with the time scale $\Delta t$ and the mean traded value per minute $<f_i>$, respectively. We find that the scaling exponent $\alpha^{\rm{endo}}$ of the endogenous fluctuations is found to be independent of the time scale, while the exponent of exogenous fluctuations $\alpha^{\rm{exo}}=1$. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.