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An Analysis of Stock Index Distributions of Selected Emerging Markets

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  • Camilleri, Silvio John

Abstract

Stock market data tends to display distinct characteristics commonly known as “stylized facts”. These include non-stationarity of price levels, as well as peak-shaped, fat-tailed and heteroskedastic log returns. This paper presents empirical evidence of these characteristics for emerging market indices, spanning over different geographic regions. The results do not disclose asymmetry in the tails of log return distributions in any particular direction. In addition, it is not confirmed that high volatility tends to follow large negative returns.

Suggested Citation

  • Camilleri, Silvio John, 2006. "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper 62490, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:62490
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    References listed on IDEAS

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    More about this item

    Keywords

    Emerging Financial Markets; Stylized Facts of Stock Market Data;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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