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Title: An analysis of stock index distributions of selected emerging markets
Authors: Camilleri, Silvio John
Keywords: Liquidity (Economics)
Stock exchanges
Stock exchanges -- Data processing
Investment analysis
Stock price indexes
Issue Date: 2006
Citation: Camilleri, S. J. (2006). An analysis of stock index distributions of selected emerging markets. Bank of Valletta Review, 33, 33-49.
Abstract: Stock market data tend 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.
Appears in Collections:Scholarly Works - FacEMABF

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