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On the Stability of the Distribution of the Market Component in Stock Price Changes

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  • Brenner, Menachem

Abstract

Stable distributions are suggested as being the underlying distributions for many economic variables. Capital market variables, in particular, are said to follow a member of the symmetric stable class.

Suggested Citation

  • Brenner, Menachem, 1974. "On the Stability of the Distribution of the Market Component in Stock Price Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 945-961, December.
    • Handle: RePEc:cup:jfinqa:v:9:y:1974:i:06:p:945-961_01
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    Cited by:

    1. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
    2. James P. Rozelle & Bruce D. Fielitz, 1980. "Stationarity Of Common Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 229-242, September.
    3. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
    4. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    5. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    6. Olga Bourachnikova & Thierry Burger-Helmchen, 2012. "Investor’s behaviour and the relevance of asymmetric risk measures," Post-Print hal-02153058, HAL.

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