AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ

Mircea Gligor ()
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Mircea Gligor: Department of Physics, National Collegium "Roman Voda", Str. M. Eminescu, 4, Roman-5550, Neamt, Romania

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 06, 723-739

Abstract: An empirical analysis of the Romanian emerging stock market RASDAQ based on the statistical study of the composite index RASDAQ-C reveals the leptokurtic profile of the probability density function (p.d.f.) of the stock index changes, the power law asymptotic behaviour of the p.d.f., the breakdown of scaling at long time scales, the absence of linear correlation in the stock index changes but existence of long-range correlation in nonlinear function such as the absolute value or the square of index changes (implicitly the long-range correlation in the index volatility). These results, consistent with the similar referring to the more liquid markets, suggest the presence of several universal features, in addition to several particularities related to the quickness of assimilation of the new information and its impact over the investors.

Keywords: Econophysics; scaling; Lévy stable distributions; correlations; power laws; JEL classification code: C16; JEL classification code: G10; JEL classification code: G14 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S021902490400261X

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