Some stylized facts of returns in the foreign exchange and stock markets in Peru

Alberto Humala and Gabriel Rodríguez

No 2010-017, Working Papers from Banco Central de Reserva del Perú

Abstract: Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality is applied to these financial returns. Dynamic correlations and different kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal different sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normality. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.

Keywords: Non-Normal Distributions; Stock Market Returns; Foreign Exchange Market Returns. (search for similar items in EconPapers)
JEL-codes: C16 E44 F31 G10 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Some stylized facts of return in the foreign exchange and stock markets in Peru (2013)
Working Paper: Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2010-017

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