A Comparison of Tail Behaviour of Stock Market Returns

Krzysztof Echaust

Abstract

Most 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.
Author Krzysztof Echaust (WIiGE / KBO)
Krzysztof Echaust,,
- Department of Operations Research
Journal seriesFolia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (B 11 pkt)
Issue year2014
Vol14
No1
Pages22-34
Publication size in sheets0.6
Keywords in Englishfat tails; distribution; extremal dependence; extremal index
DOIDOI:10.2478/foli-2014-0102
Languageen angielski
Score (nominal)11
Score sourcejournalList
ScoreMinisterial score = 10.0, 18-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 11.0, 18-12-2019, ArticleFromJournal
Citation count*1 (2020-09-12)
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?