ASYMMETRY OF RETURNS IN THE AUSTRALIAN STOCK MARKET

Susan M. Gunner (), Louise Brooks and Robin G. Storer ()
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Susan M. Gunner: School of Business Economics, Flinders University, GPO Box 2100, Adelaide, SA 5001, Australia
Louise Brooks: Faculty of Science and Engineering, Flinders University and NCVER, Adelaide, Australia
Robin G. Storer: School of Chemistry, Physics and Earth Sciences, Flinders University, Adelaide, Australia

International Journal of Modern Physics C (IJMPC), 2006, vol. 17, issue 01, 147-153

Abstract: We use econophysics techniques to investigate the characteristics of the distribution of returns from the All Ordinaries Index and from optimal portfolios constructed from individual stocks on the Australian Stock Exchange. We find in general that the tails of the distributions are asymmetric and that the negative tail favours a power-law behaviour while the positive tail is more Gaussian.

Keywords: Econophysics; stock market; asymmetry; 64.60.L; 89.90.+n (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0129183106008960

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