IDEAS home Printed from https://ideas.repec.org/a/hyp/journl/v1y2013i2p33-41.html
   My bibliography  Save this article

Statistical properties for European stock indices returns during 2007-2012

Author

Listed:
  • Iulian Panait

    () (Hyperion University of Bucharest, Romania)

Abstract

This 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.

Suggested Citation

  • Iulian Panait, 2013. "Statistical properties for European stock indices returns during 2007-2012," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 1(2), pages 33-41, June.
  • Handle: RePEc:hyp:journl:v:1:y:2013:i:2:p:33-41
    as

    Download full text from publisher

    File URL: http://www.hej.hyperion.ro/articles/2(1)_2013/HEJ%20nr2(1)_2013_A4Panait.pdf
    Download Restriction: no

    More about this item

    Keywords

    stock returns; stylized facts; emerging markets; frontier markets;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    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:hyp:journl:v:1:y:2013:i:2:p:33-41. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Iulian Panait). General contact details of provider: http://edirc.repec.org/data/fehypro.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.