<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.</p></abstract>

Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.

A Comparison of Tail Behaviour of Stock Market Returns

Ph.D. Poznań University of Economics Al. Niepodległości 10, 61-875 Poznań, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"A Comparison of Tail Behaviour of Stock Market Returns"}

Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as...

A Comparison of Tail Behaviour of Stock Market Returns

Pubblicato online: 11 dic 2014

Pagine: 22 - 34

Ricevuto: 26 feb 2014

Accettato: 01 lug 2014

DOI: https://doi.org/10.2478/foli-2014-0102

Parole chiave
fat tails, distribution, extremal dependence, extremal index

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

A Comparison of Tail Behaviour of Stock Market Returns

Pubblicato online: 11 dic 2014

Pagine: 22 - 34

Ricevuto: 26 feb 2014

Accettato: 01 lug 2014

DOI: https://doi.org/10.2478/foli-2014-0102

Parole chiavefat tails, distribution, extremal dependence, extremal index

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Parole chiave
fat tails, distribution, extremal dependence, extremal index