Statistical properties for European stock indices returns during 2007-2012
This paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divi...
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| Format: | Article |
| Language: | English |
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Faculty of Economic Sciences, Hyperion University, Bucharest, Romania
2013-06-01
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| Series: | Hyperion Economic Journal |
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| Online Access: | http://www.hej.hyperion.ro/articles/2(1)_2013/HEJ%20nr2(1)_2013_A4Panait.pdf |
| _version_ | 1828157550372061184 |
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| author | Iulian Panait |
| author_facet | Iulian Panait |
| author_sort | Iulian Panait |
| collection | DOAJ |
| description | This paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divided into three categories: mature, emerging and frontier markets. Our analysis confirms most of the stylized facts introduced by Cont (2001) but finds that frontier markets showed less volatility than emerging and developed markets and that monthly squared returns presented less evidence of autocorrelations in comparison with the daily squared returns. |
| first_indexed | 2024-04-11T23:30:33Z |
| format | Article |
| id | doaj.art-d9c8b748d37c459282361b8be53faa56 |
| institution | Directory Open Access Journal |
| issn | 2343-7995 |
| language | English |
| last_indexed | 2024-04-11T23:30:33Z |
| publishDate | 2013-06-01 |
| publisher | Faculty of Economic Sciences, Hyperion University, Bucharest, Romania |
| record_format | Article |
| series | Hyperion Economic Journal |
| spelling | doaj.art-d9c8b748d37c459282361b8be53faa562022-12-22T03:57:09ZengFaculty of Economic Sciences, Hyperion University, Bucharest, RomaniaHyperion Economic Journal2343-79952013-06-01123341Statistical properties for European stock indices returns during 2007-2012Iulian PanaitThis paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divided into three categories: mature, emerging and frontier markets. Our analysis confirms most of the stylized facts introduced by Cont (2001) but finds that frontier markets showed less volatility than emerging and developed markets and that monthly squared returns presented less evidence of autocorrelations in comparison with the daily squared returns.http://www.hej.hyperion.ro/articles/2(1)_2013/HEJ%20nr2(1)_2013_A4Panait.pdfstock returnsstylized factsemerging marketsfrontier markets |
| spellingShingle | Iulian Panait Statistical properties for European stock indices returns during 2007-2012 Hyperion Economic Journal stock returns stylized facts emerging markets frontier markets |
| title | Statistical properties for European stock indices returns during 2007-2012 |
| title_full | Statistical properties for European stock indices returns during 2007-2012 |
| title_fullStr | Statistical properties for European stock indices returns during 2007-2012 |
| title_full_unstemmed | Statistical properties for European stock indices returns during 2007-2012 |
| title_short | Statistical properties for European stock indices returns during 2007-2012 |
| title_sort | statistical properties for european stock indices returns during 2007 2012 |
| topic | stock returns stylized facts emerging markets frontier markets |
| url | http://www.hej.hyperion.ro/articles/2(1)_2013/HEJ%20nr2(1)_2013_A4Panait.pdf |
| work_keys_str_mv | AT iulianpanait statisticalpropertiesforeuropeanstockindicesreturnsduring20072012 |