Moment condition failure in stock returns: UK evidence

M. F. Omran

Applied Mathematical Finance, 1997, vol. 4, issue 4, 201-206

Abstract: We examine the issue of moments existence in the UK stock market. It is found that the second moment of stock returns is finite, and therefore, the infinite variance stable distribution is ruled out as a candidate for modelling stock returns. In contrast with the US evidence, we cannot rule out the possibility that the fourth moment is finite.

Keywords: Maximal Moment Exponents; Distributions Of Uk Stock Returns, (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1080/135048697334746

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