ABSTRACT
We choose the daily return time series of SSE Composite Index (Chinese Mainland), Hang Seng Index (Hong Kong), S&P 500 (US), FTSE 100 (UK) and Nikkei 225 (Japan) as our research objects. The period studied is from December 20, 1990 to June 21, 2007 and the sample data is from RESSET (https://www.resset.cn) and Yahoo Finance (https://fi nance. yahoo.com).
