Comparison of gain-loss asymmetry behavior for stocks and indexes

Magdalena A. Zaluska-Kotur, Krzysztof Karpio and Arkadiusz Orlowski

Papers from arXiv.org

Abstract: Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and for most of individual companies stocks. The gain-loss asymmetry for these data, measured by the coefficient, that we postulated before \cite{karpio}, has opposite sign to this for WIG index.

Date: 2006-08
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://arxiv.org/pdf/physics/0608214 Latest version (application/pdf)

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:arx:papers:physics/0608214

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().