Tail distribution of index fluctuations in world markets
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Dosyalar
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We have investigated the tail distribution of the daily fluctuations in 202 different indices in the stock markets of 59 countries for the time span of the last 20 years. Power law, log-normal, Weibull, exponential and power law with exponential cutoff distributions are considered as possible candidates for the tail distribution of the normalized returns. It is found that the power exponent depends strongly on the choice of the tail threshold and a sizeable number of indices can be better fitted fly a distribution function other than the power law at the region that has power law exponent of 3. Also, we have found that the power exponent is not ail indicator of the Maturity of the market. (C) 2009 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
Power Law, Tail Distributions, World Stock Market Indices
Kaynak
Physica A-Statistical Mechanics And Its Applications
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
Cilt
388
Sayı
9
