IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v9y1974i06p945-961_01.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000019918/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Olga Bourachnikova & Thierry Burger-Helmchen, 2012. "Investor’s behaviour and the relevance of asymmetric risk measures," Post-Print hal-02153058, HAL.
    3. 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.
    4. 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.
    5. 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).
    6. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    7. Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:9:y:1974:i:06:p:945-961_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.