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
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
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