Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets

Mariano González-Sánchez
Authors registered in the RePEc Author Service: Mariano Gonzalez Sanchez

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outliers entails other stylized facts. Also, a methodology for identifying outliers is proposed and applied to both simulated series and 1300 market assets. Results indicate that all market returns have time scaling (between 2 and 28 days) and, in 95% of cases, daily outliers represent less than 6% of observations.

Keywords: Stylized facts; Time scaling; Outlier; Heteroskedasticity; Leptokurtosis (search for similar items in EconPapers)
JEL-codes: C12 C13 G10 G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319306774

DOI: 10.1016/j.frl.2020.101510

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