Statistical properties for European stock indices returns during 2007-2012
AbstractThis 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.
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Bibliographic InfoArticle provided by Faculty of Economic Sciences, Hyperion University of Bucharest, Romania in its journal Hyperion Economic Journal.
Volume (Year): 1 (2013)
Issue (Month): 2 (June)
Contact details of provider:
Postal: Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania
Web page: http://www.econ.hyperion.ro/
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stock returns; stylized facts; emerging markets; frontier markets;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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