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An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq

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  • MIRCEA GLIGOR

    (Department of Physics, National Collegium "Roman Voda", Str. M. Eminescu, 4, Roman-5550, Neamt, Romania)

Abstract

An empirical analysis of the Romanian emerging stock market RASDAQ based on the statistical study of the composite index RASDAQ-C reveals the leptokurtic profile of the probability density function (p.d.f.) of the stock index changes, the power law asymptotic behaviour of the p.d.f., the breakdown of scaling at long time scales, the absence of linear correlation in the stock index changes but existence of long-range correlation in nonlinear function such as the absolute value or the square of index changes (implicitly the long-range correlation in the index volatility). These results, consistent with the similar referring to the more liquid markets, suggest the presence of several universal features, in addition to several particularities related to the quickness of assimilation of the new information and its impact over the investors.

Suggested Citation

  • Mircea Gligor, 2004. "An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(06), pages 723-739.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:06:n:s021902490400261x
    DOI: 10.1142/S021902490400261X
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    References listed on IDEAS

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    1. Rama Cont, 1997. "Scaling and correlation in financial data," Papers cond-mat/9705075, arXiv.org, revised May 1997.
    2. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
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    More about this item

    Keywords

    Econophysics; scaling; Lévy stable distributions; correlations; power laws; JEL classification code: C16; JEL classification code: G10; JEL classification code: G14;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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