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Author
Echaust Krzysztof (Poznań University of Economics, Poland)
Title
A Comparison of Tail Behaviour of Stock Market Returns
Source
Folia Oeconomica Stetinensia, 2014, vol. 14, nr 1, s. 22-34, rys., tab., bibliogr. 20 poz.
Keyword
Rynek kapitałowy, Dystrybucja, Indeks giełdowy
Capital market, Distribution, Stock market indexes
Note
summ.
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.(original abstract)
Accessibility
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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Bibliography
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Cited by
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ISSN
1730-4237
Language
eng
URI / DOI
http://dx.doi.org/10.2478/foli-2014-0102
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