An Analysis of Stock Index Distributions of Selected Emerging Markets

Silvio Camilleri ()

MPRA Paper from University Library of Munich, Germany

Abstract: Stock market data tends to display distinct characteristics commonly known as “stylized facts”. These include non-stationarity of price levels, as well as peak-shaped, fat-tailed and heteroskedastic log returns. This paper presents empirical evidence of these characteristics for emerging market indices, spanning over different geographic regions. The results do not disclose asymmetry in the tails of log return distributions in any particular direction. In addition, it is not confirmed that high volatility tends to follow large negative returns.

Keywords: Emerging Financial Markets; Stylized Facts of Stock Market Data (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Date: 2006
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Published in Bank of Valletta Review 33.Spring(2006): pp. 33-49

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