Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012
AbstractOur 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 some of the conclusions of previous similar researches but also identifies some particularities for the monthly returns.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 44249.
Date of creation: Aug 2012
Date of revision:
stock returns; stylized facts; beta; emerging markets; frontier markets;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G01 - Financial Economics - - General - - - Financial Crises
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
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