A Comparison of Tail Behaviour of Stock Market Returns Cover Image

A Comparison of Tail Behaviour of Stock Market Returns
A Comparison of Tail Behaviour of Stock Market Returns

Author(s): Krzysztof Echaust
Subject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: fat tails; distribution; extremal dependence; extremal index

Summary/Abstract: Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007–2009.

  • Issue Year: 14/2014
  • Issue No: 1
  • Page Range: 22-34
  • Page Count: 13
  • Language: English