Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/17654
Title: | An analysis of stock index distributions of selected emerging markets |
Authors: | Camilleri, Silvio John |
Keywords: | Liquidity (Economics) Stocks 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. |
URI: | https://www.um.edu.mt/library/oar//handle/123456789/17654 |
Appears in Collections: | Scholarly Works - FacEMABF |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
20200 Published Version.pdf | Main article | 463.19 kB | Adobe PDF | View/Open |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.