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New evidence regarding the statistical properties of the FTA500 UK stock market index

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  • David Brookfield

Abstract

A well-known fact regarding the distributional properties of stock market returns is that they are fat-tailed. Evidence is provided in this paper of further interesting properties relating to a simple decomposition of returns.

Suggested Citation

  • David Brookfield, 1995. "New evidence regarding the statistical properties of the FTA500 UK stock market index," Applied Economics Letters, Taylor & Francis Journals, vol. 2(4), pages 110-112.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:4:p:110-112
    DOI: 10.1080/758529814
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    References listed on IDEAS

    as
    1. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    2. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
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    Cited by:

    1. Thomas Lux, 1996. "Long-term stochastic dependence in financial prices: evidence from the German stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 701-706.

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