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Asymmetry Of Returns In The Australian Stock Market

Author

Listed:
  • SUSAN M. GUNNER

    (School of Business Economics, Flinders University, GPO Box 2100, Adelaide, SA 5001, Australia)

  • LOUISE BROOKS

    (Faculty of Science and Engineering, Flinders University and NCVER, Adelaide, Australia)

  • ROBIN G. STORER

    (School of Chemistry, Physics and Earth Sciences, Flinders University, Adelaide, Australia)

Abstract

We use econophysics techniques to investigate the characteristics of the distribution of returns from the All Ordinaries Index and from optimal portfolios constructed from individual stocks on the Australian Stock Exchange. We find in general that the tails of the distributions are asymmetric and that the negative tail favours a power-law behaviour while the positive tail is more Gaussian.

Suggested Citation

  • Susan M. Gunner & Louise Brooks & Robin G. Storer, 2006. "Asymmetry Of Returns In The Australian Stock Market," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 147-153.
    • Handle: RePEc:wsi:ijmpcx:v:17:y:2006:i:01:n:s0129183106008960
    DOI: 10.1142/S0129183106008960
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