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

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Keywords
  • C16 - Specific Distributions
  • C46 - Specific Distributions
  • Specific Statistics
  • G15 - International Financial Markets
  • G01 - Financial Crises
  • C01 - Econometrics

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.

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