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Moment condition failure in stock returns: UK evidence

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  • M. F. Omran

Abstract

We examine the issue of moments existence in the UK stock market. It is found that the second moment of stock returns is finite, and therefore, the infinite variance stable distribution is ruled out as a candidate for modelling stock returns. In contrast with the US evidence, we cannot rule out the possibility that the fourth moment is finite.

Suggested Citation

  • M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 201-206.
    • Handle: RePEc:taf:apmtfi:v:4:y:1997:i:4:p:201-206
    DOI: 10.1080/135048697334746
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    References listed on IDEAS

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