A Comparison of Tail Behaviour of Stock Market Returns
AbstractMost investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.
|Journal series||Folia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (B 11 pkt)|
|Publication size in sheets||0.6|
|Keywords in English||fat tails; distribution; extremal dependence; extremal index|
|Score|| = 10.0, 18-12-2019, ArticleFromJournal|
= 11.0, 18-12-2019, ArticleFromJournal
|Citation count*||1 (2020-09-12)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.