A Comparison of Tail Behaviour of Stock Market Returns

• Authors: Krzysztof Echaust
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

fat tails; distribution; extremal dependence; extremal index

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 14
• Issue: 1
• Pages: 22-34

Dates

published

2014-06-01

received

2014-02-26

accepted

2014-07-01

online

2014-12-11

Contributors

author

Krzysztof Echaust

• Ph.D. Poznań University of Economics Al. Niepodległości 10, 61-875 Poznań, Poland

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Identifiers

DOI

10.2478/foli-2014-0102