Proceedings of the 2014 International Conference on Mechatronics, Control and Electronic Engineering

Hidden circulation fluctuations periodicity of index daily return

Authors
Yuanyuan Ma, Lingxuan Li
Corresponding Author
Yuanyuan Ma
Available Online March 2014.
DOI
https://doi.org/10.2991/mce-14.2014.71How to use a DOI?
Keywords
stock markets; power spectrum density estimation; multi-signal classification(MUSIC); daily return; index of stock price
Abstract
In this article, we collect the index daily return to analysis the fluctuations of daily return ratio and monthly return ratio in the stock markets by using the multi-signal classification (MUSIC) method of Sub-space of the power spectrum density estimation. 6 kinds of Composite Index of stock price are selected, including 3 kinds of index from Shanghai Stock Exchange, Shenzhen Stock Exchange, Hong Kong Stock Exchange, and 3 kinds of index from US Stock Markets, UK stock markets, and Japanese stock markets. Though our research, we get the hidden circulation fluctuations periodicity of index daily return about Chinese stock markets and foreign stock markets. We find that Hang Seng Index has obviously cyclical nature with greatly fluctuation. The Shanghai Composite Index has a similar cyclical nature to London's FTSE 100 index and Shenzhen stock composite prices index, but the London's FTSE 100 index has strength fluctuation. Using the method mentioned in this paper is beneficial to further explore some useful objective phenomena in economic field.
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Proceedings
2014 International Conference on Mechatronics, Control and Electronic Engineering (MCE-14)
Part of series
Advances in Intelligent Systems Research
Publication Date
March 2014
ISBN
978-94-62520-31-8
ISSN
1951-6851
DOI
https://doi.org/10.2991/mce-14.2014.71How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yuanyuan Ma
AU  - Lingxuan Li
PY  - 2014/03
DA  - 2014/03
TI  - Hidden circulation fluctuations periodicity of index daily return
BT  - 2014 International Conference on Mechatronics, Control and Electronic Engineering (MCE-14)
PB  - Atlantis Press
SP  - 322
EP  - 325
SN  - 1951-6851
UR  - https://doi.org/10.2991/mce-14.2014.71
DO  - https://doi.org/10.2991/mce-14.2014.71
ID  - Ma2014/03
ER  -