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

Alberto Humala and Gabriel Rodríguez

Studies in Economics and Finance, 2013, vol. 30, issue 2, 139-158

Abstract: Purpose - The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach - Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied. Dynamic correlations and different kernel estimations and approximations to 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. Findings - The findings include: different types of non‐normality in both markets, fat tails, excess furtosis, return clustering and unconditional time‐varying moments. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events. Originality/value - The paper is the first work of this type in Peru.

Keywords: Peru; Stock markets; Returns; Foreign exchange; Non‐normality distribution; Stock market return; Foreign market returns (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (16)

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Related works:
Working Paper: Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru (2011)
Working Paper: Some stylized facts of returns in the foreign exchange and stock markets in Peru (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:30:y:2013:i:2:p:139-158

DOI: 10.1108/10867371311325444

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