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Multiple Testing Of Sign Symmetry For Stock Return Distributions

Author

Listed:
  • PETR KOLDANOV

    (Laboratory of Algorithms and Technologies for Network Analysis, National Research University, Higher School of Economics, Nizhny Novgorod, Rodionova St. 136, 603093, Russia)

  • NINA LOZGACHEVA

    (National Research University Higher School of Economics, Nizhny Novgorod, Rodionova St. 136, 603093, Russia)

Abstract

Multiple statistical procedure for testing elliptical model for stock returns distribution is proposed. Sign symmetry conditions are chosen as individual hypotheses for multiple testing. Distribution free uniformly most powerful tests of Neyman structure are constructed for individual hypotheses testing. Associated stepwise multiple testing procedure is applied for the real market data. Numerical experiments shows that hypothesis of elliptical model is rejected. At the same time it is observed that the graph of rejected individual hypotheses has unexpected structure. Namely, this graph is sparse and has a few hubs of high degree. Removing this hubs leads to nonrejection of hypothesis of elliptical model.

Suggested Citation

  • Petr Koldanov & Nina Lozgacheva, 2016. "Multiple Testing Of Sign Symmetry For Stock Return Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-14, December.
    • Handle: RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500497
    DOI: 10.1142/S0219024916500497
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    References listed on IDEAS

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    1. Rémy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The Joint Distribution Of Stock Returns Is Not Elliptical," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-23.
    2. Rémy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The joint distribution of stock returns is not elliptical," Post-Print hal-00703720, HAL.
    3. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2010. "The joint distribution of stock returns is not elliptical," Papers 1009.1100, arXiv.org, revised Jun 2012.
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    Cited by:

    1. Koldanov, A. & Koldanov, P. & Semenov, D., 2021. "Confidence set for connected stocks of stock market," Journal of the New Economic Association, New Economic Association, vol. 50(2), pages 12-34.

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