| Summary: | This study estimates the parameters of a power law fit of the distribution of log returns of exchange traded funds (ETFs) before, during, and after the recent financial crisis. It is found, that there is considerable variation both between ETFs and between calm and turbulent phases. Exponents of the daily log return distribution are estimated to lie mostly between 3.0 and 5.0 depending on the ETF. In minute‐by‐minute, trading data much lower power law exponents have been found concentrating between 3.0 and 4.0 and sometimes dropping to values close to or below 3.0. Further, there is evidence for changes in the distribution during times of turbulence (value of the exponent, improvement in the goodness of fit measures of the distribution). It can be hypothesized that effects such as, infinite variance (for α < 3) or changes in the form of the distribution can occur, in turn affecting the predictability of the system which has implications for the possibility to control or regulate financial markets under such conditions.
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