Paper Title
Statistics of Price Gap in Chinese and American Stock Markets

Empirical research is very important for financial research. Some universal laws obtained from statistical analysis have been called touchstones of relevant theoretical models. However, there are stillsome superstitions that have not yet been verified by scholars but spreading among stock traders. For example, there is an axiom about the stock gap, which is “gaps always get filled.” Chartists believe that the gaps always exist universally, and the gap should be closed.Research on this issue is still very scarce, both theoretical and empirical. This paper discusses some statistical characteristics of the gap by collecting empirical data and applying statistical analysis. By comparing the results of the Chinese stock market with those of America, this work foundsome similarities and differences of gaps and gap-filling time. Both Chinese and American stock marketsgenerate gaps while the number of gaps in the US. stock market is twice as large as that in China. The gaps are filled in different time lengths, which is very uncertain with a large variance.This study opens a window for research on the sudden changes and collective behaviors in the financial system. Keywords - Stock market,Price gap, Gap-filling, Length of filling gap,