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dc.identifier.citationCamilleri, S. J. (2006). An analysis of stock index distributions of selected emerging markets. Bank of Valletta Review, 33, 33-49.en_GB
dc.description.abstractStock 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.en_GB
dc.subjectLiquidity (Economics)en_GB
dc.subjectStock exchangesen_GB
dc.subjectStock exchanges -- Data processingen_GB
dc.subjectInvestment analysisen_GB
dc.subjectStock price indexesen_GB
dc.titleAn analysis of stock index distributions of selected emerging marketsen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.contributor.creatorCamilleri, Silvio John
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