Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru
AbstractSome stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied to these ?nancial returns. Dynamic correlations and di¤erent kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal di¤erent sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normal- ity. Identi?able volatility cycles in both forex and stock markets are associated to common macro ?nancial uncertainty events.
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Bibliographic InfoPaper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2011-325.
Date of creation: 2011
Date of revision:
Publication status: published
Contact details of provider:
Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
Web page: http://www.pucp.edu.pe/departamento/economia/
More information through EDIRC
Non-Normal Distributions; Stock Market Returns; Foreign Exchage; Market Returns;
Other versions of this item:
- Alberto Humala & Gabriel Rodriguez, 2013. "Some stylized facts of return in the foreign exchange and stock markets in Peru," Studies in Economics and Finance, Emerald Group Publishing, vol. 30(2), pages 139-158, April.
- Humala, Alberto & Rodriguez, Gabriel, 2010. "Some stylized facts of returns in the foreign exchange and stock markets in Peru," Working Papers 2010-017, Banco Central de Reserva del Perú.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-FMK-2011-10-09 (Financial Markets)
- NEP-IFN-2011-10-09 (International Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, issue 62, pages 109-126.
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EERI Research Paper Series
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