Asymmetries in stock marketsAuthor-Name: Wang, Peijie

Bing Zhang and Yun Zhou

European Journal of Operational Research, 2015, vol. 241, issue 3, 749-762

Abstract: This paper analyzes three major asymmetries in stock markets, namely, asymmetry in return reversals, asymmetry in return persistency and asymmetry in return volatilities. It argues for a case of return persistency as stock returns do not always reverse, in theory and in practice. Patterns in return-volatility asymmetries are conjectured and investigated jointly, under different stock market conditions. Results from modeling the world's major stock return indexes render support to the propositions of the paper. Return reversal asymmetry is illusionary arising from ambiguous parameter estimations and deluding interpretations of parameter signs. Asymmetry in return persistency, still weak though, is more prevalent.

Keywords: Asymmetry; Volatility; Return reversals; Return persistency (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221714007681
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:241:y:2015:i:3:p:749-762

DOI: 10.1016/j.ejor.2014.09.029

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().