How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems
Table 1
The time period, effective pair of time windows and maximum AP0.
The time period, effective pair of T1 and T2, and maximum AP0 for the individual stocks in the NYSE and SSE, as well as 18 stock indices. The volatility-return correlation nonlocal in time is positive for all these indices and stocks, except for the Australia and Japan indices, which exhibit a negative volatility-return correlation. For other 7 indices, nonzero ΔP(t) could not be detected for almost all pairs of T1 and T2. These indices include MERV (Argentina 1996–2012), BSESN (India 1997–2012), KLSE (Malaysia 1993–2012), KJSE (Indonesia 1997–2011), OMXC20.CO (Denmark 2000–2012), OSEAX (Norway 2001–2012) and FTSE (England 1984–2012), which are not listed in this table.