{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,2]],"date-time":"2025-08-02T17:50:58Z","timestamp":1754157058216,"version":"3.41.2"},"reference-count":20,"publisher":"Emerald","issue":"9","license":[{"start":{"date-parts":[[2012,10,12]],"date-time":"2012-10-12T00:00:00Z","timestamp":1350000000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.emerald.com\/insight\/site-policies"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2012,10,12]]},"abstract":"<jats:sec><jats:title content-type=\"abstract-heading\">Purpose<\/jats:title><jats:p>The purpose of this paper is to reveal the multi\u2010scale relation between power law distribution and correlation of stock returns and to figure out the determinants underlying capital markets.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-heading\">Design\/methodology\/approach<\/jats:title><jats:p>The multi\u2010scale relation between power law distribution and correlation is investigated by comparing the original series with the special series. The eliminating intraday trend series approach developed by Liu<jats:italic>et al.<\/jats:italic>is utilized to analyze the effects of power law decay change on correlation properties, and shuffling series originated by Viswanathan<jats:italic>et al.<\/jats:italic>for the impacts of special type of correlation on power\u2010law distribution.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-heading\">Findings<\/jats:title><jats:p>It is found that the accelerating decay of power law has an insignificant effect on correlation properties of returns and the empirical results indicate that time scale may also be an important factor maintaining power law property of returns besides correlation. When time scale is under critical point, the effects of correlation are crucial, and the correlation of nonlinear long\u2010range presents the strongest influence. However, for time scale beyond critical point, the impact of correlation begins to diminish or even finally disappear and then the power law property shows complete dependence on time scale.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-heading\">Research limitations\/implications<\/jats:title><jats:p>The 5\u2010min high frequency data of the Shanghai market as the empirical benchmark is insufficient to depict the relation over the entire time scale in the Chinese stock market.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-heading\">Practical implications<\/jats:title><jats:p>The paper identifies the determinants of market dynamics to apply them to risk management through analysis of multi\u2010scale relations, and supports endeavors to introduce time parameter into further risk measures and control.<\/jats:p><\/jats:sec><jats:sec><jats:title content-type=\"abstract-heading\">Originality\/value<\/jats:title><jats:p>The paper provides the empirical evidence that time scale is one of the key determinants of market dynamics by analyzing the multi\u2010scale relation between power law distribution and correlation.<\/jats:p><\/jats:sec>","DOI":"10.1108\/03684921211275360","type":"journal-article","created":{"date-parts":[[2013,3,25]],"date-time":"2013-03-25T13:28:01Z","timestamp":1364218081000},"page":"1323-1333","source":"Crossref","is-referenced-by-count":2,"title":["Multi\u2010scale relation analysis of power law distribution and correlation in the Chinese stock market"],"prefix":"10.1108","volume":"41","author":[{"given":"Hong\u2010lin","family":"Yang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Shou","family":"Chen","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yan","family":"Yang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"140","reference":[{"key":"key2022020219544936400_b1","doi-asserted-by":"crossref","unstructured":"Admati, A.R. and Pfleiderer, P. (1988), \u201cA theory of intraday patterns: volume and price variability\u201d, Review of Financial Studies, Vol. 1 No. 1, pp. 3\u201040.","DOI":"10.1093\/rfs\/1.1.3"},{"key":"key2022020219544936400_b2","doi-asserted-by":"crossref","unstructured":"Baviera, R., Pasquini, M., Serva, M., Vergni, D. and Vulpian, A. (2001), \u201cForecast in foreign exchange markets\u201d, Eur. Phys. J. B, Vol. 20 No. 4, pp. 473\u20109.","DOI":"10.1007\/s100510170226"},{"key":"key2022020219544936400_b3","doi-asserted-by":"crossref","unstructured":"Gabaix, X., Gopikrishnan, P., Plerou, V. and Stanley, H.E. (2003), \u201cA theory of power\u2010law distributions in financial market fluctuations\u201d, Nature, Vol. 423, pp. 267\u201070.","DOI":"10.1038\/nature01624"},{"key":"key2022020219544936400_b4","doi-asserted-by":"crossref","unstructured":"Ghashghaie, S., Breymann, W., Peinke, J., Talkner, P. and Dodge, Y. (1996), \u201cTurbulent cascades in foreign exchange markets\u201d, Nature, Vol. 381, pp. 767\u201070.","DOI":"10.1038\/381767a0"},{"key":"key2022020219544936400_b7","doi-asserted-by":"crossref","unstructured":"Gopikrishnan, P., Meyer, M., Amaral, L.A.N. and Stanley, H.E. (1998), \u201cInverse cubic law for the distribution of stock price variations\u201d, Eur. Phys. J. B, Vol. 3 No. 2, pp. 139\u201040.","DOI":"10.1007\/s100510050292"},{"key":"key2022020219544936400_b6","doi-asserted-by":"crossref","unstructured":"Gopikrishnan, P., Plerou, V., Amaral, L.A.N., Meyer, M. and Stanley, H.E. (1999), \u201cScaling of the distribution of fluctuations of financial market indices\u201d, Physical Review E, Vol. 60 No. 5, pp. 5305\u201016.","DOI":"10.1103\/PhysRevE.60.5305"},{"key":"key2022020219544936400_b5","doi-asserted-by":"crossref","unstructured":"Gopikrishnan, P., Plerou, V., Liu, Y., Amaral, L.A.N., Gabaix, X. and Stanley, H.E. (2000), \u201cScaling and correlation in financial time series\u201d, Physica A, Vol. 287 Nos 3\/4, pp. 362\u201073.","DOI":"10.1016\/S0378-4371(00)00375-7"},{"key":"key2022020219544936400_b8","doi-asserted-by":"crossref","unstructured":"Huang, Z.\u2010F. (2000), \u201cThe first 20 min in the Hong Kong stock market\u201d, Physica A, Vol. 287 Nos 3\/4, pp. 405\u201011.","DOI":"10.1016\/S0378-4371(00)00379-4"},{"key":"key2022020219544936400_b9","doi-asserted-by":"crossref","unstructured":"Kantelhardt, J.W., Zschiegner, S.A., Koscielny\u2010Bunde, E., Havlin, S., Bunde, A. and Stanley, H.E. (2002), \u201cMultifractal detrended fluctuation analysis of nonstationary time series\u201d, Physica A, Vol. 316 Nos 1\/4, pp. 87\u2010114.","DOI":"10.1016\/S0378-4371(02)01383-3"},{"key":"key2022020219544936400_b10","doi-asserted-by":"crossref","unstructured":"Kwapien, J., Qswiecimka, P. and Drozdz, S. (2005), \u201cComponents of multifractality in high\u2010frequency stock returns\u201d, Physica A, Vol. 350 Nos 2\/4, pp. 466\u201074.","DOI":"10.1016\/j.physa.2004.11.019"},{"key":"key2022020219544936400_b11","doi-asserted-by":"crossref","unstructured":"Liu, Y., Gopikrishnan, P., Cizeau, P., Meyer, M., Peng, C.K. and Stanley, H.E. (1999), \u201cStatistical properties of the volatility of price fluctuations\u201d, Physical Review E, Vol. 60 No. 2, pp. 1390\u2010400.","DOI":"10.1103\/PhysRevE.60.1390"},{"key":"key2022020219544936400_b12","doi-asserted-by":"crossref","unstructured":"Lux, T. (1996), \u201cThe stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks\u201d, Applied Financial Economics, Vol. 6 No. 6, pp. 463\u201075.","DOI":"10.1080\/096031096333917"},{"key":"key2022020219544936400_b13","doi-asserted-by":"crossref","unstructured":"Matia, K., Ashkenazy, Y. and Stanley, H.E. (2003), \u201cMultifractal properties of price fluctuations of stocks and commodities\u201d, Europhys. Lett., Vol. 61 No. 3, pp. 422\u20108.","DOI":"10.1209\/epl\/i2003-00194-y"},{"key":"key2022020219544936400_b14","doi-asserted-by":"crossref","unstructured":"Pasquini, M. and Serva, M. (2000), \u201cClustering of volatility as a multi\u2010scale phenomenon\u201d, Eur. Phys. J. B, Vol. 16 No. 1, pp. 195\u2010201.","DOI":"10.1007\/s100510070265"},{"key":"key2022020219544936400_b15","doi-asserted-by":"crossref","unstructured":"Storer, R. and Gunner, S.M. (2002), \u201cStatistical properties of the Australian \u2018all ordinaries\u2019 index\u201d, Int. J. Mod. Phys. C, Vol. 3 No. 7, pp. 893\u20107.","DOI":"10.1142\/S0129183102003656"},{"key":"key2022020219544936400_b16","unstructured":"Sun, B.W., Luo, X.G., Sun, B. and Liu, T.L. (2007), \u201cThe study on the topology structure of China stock market and the self\u2010organized criticality\u201d, Advances in Systems Science and Applications, Vol. 7 No. 1, pp. 127\u201031."},{"key":"key2022020219544936400_b17","doi-asserted-by":"crossref","unstructured":"Viswanathan, G.M., Fulco, U.L., Lyra, M.L. and Serva, M. (2003), \u201cThe origin of fat\u2010tailed distributions in financial time series\u201d, Physica A, Vol. 329 Nos 1\/2, pp. 273\u201080.","DOI":"10.1016\/S0378-4371(03)00608-3"},{"key":"key2022020219544936400_b18","doi-asserted-by":"crossref","unstructured":"Wang, B.H. and Hui, P.M. (2001), \u201cThe distribution and scaling of fluctuation for Hang Seng index in Hong Kong stock market\u201d, Eur. Phys. J. B, Vol. 20 No. 4, pp. 573\u20109.","DOI":"10.1007\/PL00022987"},{"key":"key2022020219544936400_b19","doi-asserted-by":"crossref","unstructured":"Yan, C., Zhang, J.W., Zhang, Y. and Tang, Y.N. (2005), \u201cPower\u2010law properties of Chinese stock market\u201d, Physica A, Vol. 353, pp. 425\u201032.","DOI":"10.1016\/j.physa.2005.02.010"},{"key":"key2022020219544936400_b20","unstructured":"Zhang, H. and Guan, Z.H. (2006), \u201cNew stability criterion of synchronization in complex dynamical networks with time\u2010varying delay\u201d, Advances in Systems Science and Applications, Vol. 6 No. 4, pp. 547\u201051."}],"container-title":["Kybernetes"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/www.emeraldinsight.com\/doi\/full-xml\/10.1108\/03684921211275360","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.emerald.com\/insight\/content\/doi\/10.1108\/03684921211275360\/full\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.emerald.com\/insight\/content\/doi\/10.1108\/03684921211275360\/full\/html","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,24]],"date-time":"2025-07-24T23:27:41Z","timestamp":1753399661000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.emerald.com\/k\/article\/41\/9\/1323-1333\/266204"}},"subtitle":[],"editor":[{"given":"Yi","family":"Lin","sequence":"first","affiliation":[],"role":[{"role":"editor","vocabulary":"crossref"}]}],"short-title":[],"issued":{"date-parts":[[2012,10,12]]},"references-count":20,"journal-issue":{"issue":"9","published-print":{"date-parts":[[2012,10,12]]}},"alternative-id":["10.1108\/03684921211275360"],"URL":"https:\/\/doi.org\/10.1108\/03684921211275360","relation":{},"ISSN":["0368-492X"],"issn-type":[{"type":"print","value":"0368-492X"}],"subject":[],"published":{"date-parts":[[2012,10,12]]}}}