Regularities in stock markets

Abstract

From the stock markets of six countries with high GDP, we study the stock indices,�S&P 500 (NYSE, USA),�SSE Composite (SSE, China),�Nikkei (TSE, Japan),�DAX (FSE, Germany),�FTSE 100 (LSE, Britain)�and�NIFTY (NSE, India). The daily mean growth of the stock values is exponential. The daily price fluctuations about the mean growth are Gaussian, but with a nonzero asymptotic convergence. The growth of the monthly average of stock values is statistically self-similar to their daily growth. The monthly fluctuations of the price follow a Wiener process, with a decline of the volatility. The mean growth of the daily volume of trade is exponential. These observations are globally applicable and underline regularities across global stock markets.