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Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012

Iulian Panait () and Alexandru Constantinescu

MPRA Paper from University Library of Munich, Germany

Abstract: Our paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divided into three categories: mature, emerging and frontier markets. Our analysis confirms some of the conclusions of previous similar researches but also identifies some particularities for the monthly returns.

Keywords: stock returns; stylized facts; beta; emerging markets; frontier markets (search for similar items in EconPapers)
JEL-codes: C16 C46 G15 G01 C01 (search for similar items in EconPapers)
Date: 2012-08
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