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Volatility And Kurtosis Of Daily Stock Returns At Mse

Author

Listed:
  • Ivanovski, Zoran

    () (University of Tourism and Management in Skopje, Macedonia)

  • Stojanovski, Toni

    (University of Information Science and Technology “St Pault te Postile” Ohrid, Macedonia)

  • Narasanov, Zoran

    (Winner Insurance, Vienna Insurance Group, Skopje, Macedonia)

Abstract

Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian) distribution. However, many authors argue that in the practice stock returns are often characterized by skewness and kurtosis, so we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility clustering and high kurtosis. The fact that daily stock returns at MSE are not normally distributed put into doubt results that rely heavily on this assumption and have significant implications for portfolio management. We consider this stock market as good representatives of emerging markets. Therefore, we argue that our results are valid for other similar emerging stock markets.

Suggested Citation

  • Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.
  • Handle: RePEc:ris:utmsje:0150
    as

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    File URL: http://utmsjoe.mk/files/Vol.%206%20No.%202/UTMSJOE-2015-0602-003-Ivanovski-Stojanovski-Narasanov.pdf
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    References listed on IDEAS

    as
    1. Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
    2. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    4. Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
    5. Zoran Ivanovski & Zoran Narasanov & Nadica Ivanovska, 2015. "Volatility And Kurtosis At Emerging Markets: Comparative Analysis Of Macedonian Stock Exchange And Six Stock Markets From Central And Eastern Europe," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 9(1), pages 84-93.
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    More about this item

    Keywords

    models; leptokurtic; investment; stocks;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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