  We study dynamical behavior of the Chinese stock markets by investigating the
statistical properties of daily ensemble returns and varieties defined
respectively as the mean and the standard deviation of the ensemble daily price
returns of a portfolio of stocks traded in China's stock markets on a given
day. The distribution of the daily ensemble returns has an exponential form in
the center and power-law tails, while the variety distribution is log-Gaussian
in the bulk followed by a power-law tail for large varieties. Based on
detrended fluctuation analysis, R/S analysis and modified R/S analysis, we find
evidence of long memory in the ensemble returns and strong evidence of long
memory in the evolution of variety.
