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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

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    File URL: http://steconomice.uoradea.ro/anale/volume/2008/v3-finances-banks-accountancy/157.pdf
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    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.
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    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

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