Dependence and Return Distributions During Crises

Craig Ellis and Maike Sundmacher

A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 449-471 from Emerald Group Publishing Limited

Abstract: That asset returns are typically neither independent nor normally distributed is a stylised fact of many financial markets. We examine market returns for a number of emerging Asian nations before and during the Asian crisis and global financial crisis periods and consider how well these are described by the assumptions of normality and independence. Specifically we seek to ask how – if at all – these crises impacted upon the time-series properties of stock market returns in the emerging Asian economies. The first part of the chapter examines the comparative fit of the normal distribution to daily stock market returns for each of the economies under observation. The second part of the chapter follows with an examination of dependence relations in emerging Asian market returns around the crises periods.

Keywords: Return distributions; long-term dependence; non-periodic cycles (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(2011)0000093016

DOI: 10.1108/S1569-3759(2011)0000093016

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