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Statistical Properties Of Daily Returns: Evidence From European Stock Markets

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  • A. Corhay
  • A. Tourani Rad

Abstract

This paper attempts to model the distributional properties of daily stock returns on several European Stock Exchanges. The empirical findings reveal the presence of non‐linear dependencies that cannot be captured by the random walk model. A model of return‐generating process that fit the data empirically is the Generalized Autoregressive Conditional Heteroskedastic GARCH (1,1) process with a conditional student‐t distribution.

Suggested Citation

  • A. Corhay & A. Tourani Rad, 1994. "Statistical Properties Of Daily Returns: Evidence From European Stock Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 21(2), pages 271-282, March.
    • Handle: RePEc:bla:jbfnac:v:21:y:1994:i:2:p:271-282
    DOI: 10.1111/j.1468-5957.1994.tb00318.x
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    References listed on IDEAS

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    1. Morgan, I G, 1976. "Stock Prices and Heteroscedasticity," The Journal of Business, University of Chicago Press, vol. 49(4), pages 496-508, October.
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    6. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    7. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    8. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    9. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
    10. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    11. Bookstaber, Richard M & McDonald, James B, 1987. "A General Distribution for Describing Security Price Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 401-424, July.
    12. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Gregory Koutmos, 1996. "Modeling The Dynamic Interdependence Of Major European Stock Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(7), pages 975-988, October.

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