On Tails of Stock Returns: Estimation and Comparison between Stocks and Markets
14 Pages Posted: 19 Mar 2009
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: Suggested Citation
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