Moment Condition Failure Australian Evidence

16 Pages Posted: 5 May 2001

See all articles by Jan Annaert

Jan Annaert

University of Antwerp Department of Accounting & Finance; University of Antwerp - Antwerp Management School

Marc J. K. de Ceuster

University of Antwerp - Faculty of Applied Economics - City Campus

Allan Hodgson

University of Queensland - Faculty of Business, Economics and Law; Financial Research Network (FIRN)

Date Written: undated

Abstract

This paper examines the existence of stock return moments in the less liquid Australian market. We initially find conflicting results. Characteristic exponent point estimates of approximately 1.5 are found for Australian stocks, in line with previous US research findings. This would imply that the population variance is infinite. On the other hand, Hill-estimates, are above 2 for all stocks indicating that second moments do exist. This conflicting result is resolved by setting up a simulation experiment in which we show that combinations of the Hill-estimate and the characteristic exponent, produced by the real data, are extremely unlikely for sum stables. These results provide further evidence for the existence of second moments. However, the determination of the existence of fourth moments still remains unresolved.

Keywords: Sum stable distributions, Hill-estimator, moments

JEL Classification: C14, C22, G12

Suggested Citation

Annaert, Jan and de Ceuster, Marc J. K. and Hodgson, Allan C., Moment Condition Failure Australian Evidence (undated). EFMA 2001 Lugano Meetings. Available at SSRN: https://ssrn.com/abstract=269049 or http://dx.doi.org/10.2139/ssrn.269049

Jan Annaert

University of Antwerp Department of Accounting & Finance ( email )

Faculty of Applied Economics
Prinsstraat 13
Antwerp, B-2000
Belgium

HOME PAGE: http://https://www.uantwerp.be/en/staff/jan-annaert/

University of Antwerp - Antwerp Management School ( email )

Boogkeers 5
Antwerp, 2000
Belgium

Marc J. K. De Ceuster (Contact Author)

University of Antwerp - Faculty of Applied Economics - City Campus ( email )

Office B-337
Prinsstraat 13
Antwerp, Antwerp 2000
Belgium
+ 32 3 220 41 24 (Phone)
+ 32 3 220 40 64 (Fax)

HOME PAGE: http://www.ua.ac.be/marc.deceuster

Allan C. Hodgson

University of Queensland - Faculty of Business, Economics and Law ( email )

4072 Brisbane, Queensland
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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