Fat tails in financial return distributions revisited: Evidence from the Korean stock market
| Autor: | Cheoljun Eom, Enrico Scalas, Taisei Kaizoji |
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| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Volatility clustering Autoregressive conditional heteroskedasticity Condensed Matter Physics Stock return 01 natural sciences Currency crisis 010305 fluids & plasmas FOS: Economics and business QA273 0103 physical sciences Economics Econometrics HG0101 Stock market Quantitative Finance - General Finance General Finance (q-fin.GN) 010306 general physics Stock (geology) |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 526:121055 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2019.121055 |
| Popis: | This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks than for large-capitalization stocks. After controlling for the 1997 Korean foreign currency crisis and using the GARCH filter models to control for volatility clustering in the returns, the fat tails in the distribution of residuals are found to persist. We show that market crashes and volatility clustering may not sufficiently account for the existence of fat tails in return distributions. These findings are robust regardless of period or type of stock group. Comment: 24 pages, 4 Tables, 3 Figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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