A Comparison of Tail Behaviour of Stock Market Returns

Echaust Krzysztof ()
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Echaust Krzysztof: Ph.D. Poznań University of Economics Al. Niepodległości 10, 61-875 Poznań, Poland

Folia Oeconomica Stetinensia, 2014, vol. 14, issue 1, 22-34

Abstract: Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.

Keywords: fat tails; distribution; extremal dependence; extremal index (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:14:y:2014:i:1:p:13:n:2

DOI: 10.2478/foli-2014-0102

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