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A Comparison of Tail Behaviour of Stock Market Returns

Authors
  • Echaust, Krzysztof
Type
Published Article
Journal
Folia Oeconomica Stetinensia
Publisher
De Gruyter Open
Publication Date
Jun 01, 2014
Volume
14
Issue
1
Pages
22–34
Identifiers
DOI: 10.2478/foli-2014-0102
Source
De Gruyter
Keywords
License
Green

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.

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