On Tails of Stock Returns: Estimation and Comparison between Stocks and Markets

14 Pages Posted: 19 Mar 2009

See all articles by Jiří Horák

Jiří Horák

Charles University in Prague

Martin Smid

Institute of Information Theory and Automation, Prague

Date Written: March 19, 2009

Abstract

We estimate the tail exponent of daily, weekly and monthly returns of 22 world stocks. We show that the left tails are significantly heavier than the right one. On the other hand, we find indications against the stylized fact that the tails of longer period returns lighter than those of the short term ones. We show that the tail index of a stock return depends on the market where the stock is traded but it does not matter whether the market is "emerging'' or "developed''.

Keywords: tail exponents, estimation, price return

JEL Classification: G10

Suggested Citation

Horák, Jiří and Smid, Martin, On Tails of Stock Returns: Estimation and Comparison between Stocks and Markets (March 19, 2009). Available at SSRN: https://ssrn.com/abstract=1365229 or http://dx.doi.org/10.2139/ssrn.1365229

Jiří Horák

Charles University in Prague ( email )

Celetná 13
Praha 1, 116 36
Czech Republic

Martin Smid (Contact Author)

Institute of Information Theory and Automation, Prague ( email )

Pod vodarenskou vezi 4
Praha, CZ-18208
Czech Republic

HOME PAGE: http://www.klec.cz/martin

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