Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Eckhard Platen () and Renata Rendek

No 194, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies. Motivated by earlier results, we have obtained the estimated distribution of log-returns for a range of world stock indices over long observation periods. We expand previous studies by applying the maximum likelihood ratio test to the large class of generalized hyperbolic distributions, and investigate the log-returns of a variety of diversified world stock indices in different currency denominations. This identifies the Student-t distribution with about four degrees of freedom as the typical estimated log-return distribution of such indices. Owing to the observed high levels of significance, this result can be interpreted as a stylized empirical fact.

Keywords: diversified world stock index; growth optimal portfolio; log-return distribution; Student-t distribution; generalized hyperbolic distribution; likelihood ratio test (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2007-03-01
New Economics Papers: this item is included in nep-edu and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

Published as: Platen, E. and Rendek, R., 2008, "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices", Journal of Statistical Theory and Practice, 2(2), 233-251.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp194.pdf (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:uts:rpaper:194

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().