IDEAS home Printed from https://ideas.repec.org/a/ora/journl/v3y2008i1p860-865.html
   My bibliography  Save this article

Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)

Author

Listed:
  • Trenca I. Ioan

    („Babe_-Bolyai” University Cluj-Napoca, Faculty of Economics and Business Administration)

  • Zoicas - Ienciu Adrian

    („Babe_-Bolyai” University Cluj-Napoca, Faculty of Economics and Business Administration)

Abstract

Based on a long series of papers analyzing stock returns behavior we can speak generally about the stock exchange as a speculative market in the sense of the stable paretian hypothesis. Still, there are significant differences from a market to another and in many cases biases from normality are too insignificant in order to justify a radical change of approach. This radical change is less needed especially when the aggregating interval of price changes gets big enough, for example if we speak about weakly or monthly returns, cases in which the non normality hypothesis can be accepted in a comfortable way.

Suggested Citation

  • Trenca I. Ioan & Zoicas - Ienciu Adrian, 2008. "Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 860-865, May.
  • Handle: RePEc:ora:journl:v:3:y:2008:i:1:p:860-865
    as

    Download full text from publisher

    File URL: http://steconomice.uoradea.ro/anale/volume/2008/v3-finances-banks-accountancy/157.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. M. F. M. Osborne, 1959. "Brownian Motion in the Stock Market," Operations Research, INFORMS, vol. 7(2), pages 145-173, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011. "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series 295, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Álvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
    3. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
    4. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    5. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
    6. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    7. Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
    8. Kristýna Ivanková, 2010. "Isobars and the Efficient Market Hypothesis," Working Papers IES 2010/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
    9. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
    10. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    11. Brisset, Nicolas, 2017. "On Performativity: Option Theory And The Resistance Of Financial Phenomena," Journal of the History of Economic Thought, Cambridge University Press, vol. 39(4), pages 549-569, December.
    12. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2015. "Forecasting trends with asset prices," Papers 1504.03934, arXiv.org, revised Apr 2015.
    13. Cook, Steve & Watson, Duncan, 2017. "Revisiting the returns–volume relationship: Time variation, alternative measures and the financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 228-235.
    14. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    15. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
    16. Jamshid Ardalankia & Mohammad Osoolian & Emmanuel Haven & G. Reza Jafari, 2019. "Scaling Features of Price-Volume Cross-Correlation," Papers 1903.01744, arXiv.org, revised Aug 2020.
    17. repec:lan:wpaper:3050 is not listed on IDEAS
    18. repec:lan:wpaper:3048 is not listed on IDEAS
    19. Miguel A Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," PLOS ONE, Public Library of Science, vol. 4(12), pages 1-4, December.
    20. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2019. "Analyzing Oil Price Shocks and Exchange Rates Movements in Korea using Markov Regime-Switching Models," Energies, MDPI, vol. 12(23), pages 1-16, December.
    21. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
    22. Schinckus, Christophe, 2018. "Ising model, econophysics and analogies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 95-103.

    More about this item

    Keywords

    stock returns; probabilistic distributions; stable paretian hypothesis;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F30 - International Economics - - International Finance - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ora:journl:v:3:y:2008:i:1:p:860-865. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catalin ZMOLE The email address of this maintainer does not seem to be valid anymore. Please ask Catalin ZMOLE to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/feoraro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.