Time Duration Decay in Romanian Capital Markets

Financial and Monetary Stability in Emerging Countries Conference, December 2010

Posted: 11 Apr 2011 Last revised: 27 Jun 2017

Date Written: December 10, 2010

Abstract

Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power-law probability density function P(g)~g-(α1) with exponent values α>2, which are outside the Levy-stable regime 0<α<2. To test the universality of this relationship in ‘time duration,’ we isolate the time duration between rate of change for the period Jan 2000-Oct 2010 for the 23 largest stocks of the Bucharest Stock Exchange which has the highest volume of trade in Romania. We find that D(g) decays as an exponential function D(g)~exp(-βg) with a characteristic decay scales β=2.45±0.045. Thus we conclude that time duration in Romanian stock market may belong to a universality class that is witnessed in equity prices around the world.

Keywords: stock market, exponentiality, decay, time

JEL Classification: G10

Suggested Citation

Pal, Mukul and Nistor, Ioan Alin, Time Duration Decay in Romanian Capital Markets (December 10, 2010). Financial and Monetary Stability in Emerging Countries Conference, December 2010. Available at SSRN: https://ssrn.com/abstract=1806212

Mukul Pal (Contact Author)

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

Ioan Alin Nistor

Orpheus Capitals ( email )

13 Parang Street, No.20
Cluj Napoca, Cluj 400552
Romania

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