Tail distribution of index fluctuations in world markets

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dc.authorid0000-0002-6270-966Xen_US
dc.authorid0000-0001-8212-897X
dc.contributor.authorEryiğit, Mehmet
dc.contributor.authorÇukur, Sadık
dc.contributor.authorEryiğit, Resul
dc.date.accessioned2021-06-23T19:26:17Z
dc.date.available2021-06-23T19:26:17Z
dc.date.issued2009
dc.departmentBAİBÜ, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractWe 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.en_US
dc.identifier.doi10.1016/j.physa.2009.01.019
dc.identifier.endpage1886en_US
dc.identifier.issn0378-4371
dc.identifier.issn1873-2119
dc.identifier.issue9en_US
dc.identifier.scopus2-s2.0-60349128462en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage1879en_US
dc.identifier.urihttps://doi.org/10.1016/j.physa.2009.01.019
dc.identifier.urihttps://hdl.handle.net/20.500.12491/6489
dc.identifier.volume388en_US
dc.identifier.wosWOS:000264616900011en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorEryiğit, Mehmet
dc.institutionauthorÇukur, Sadık
dc.institutionauthorEryiğit, Resul
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofPhysica A-Statistical Mechanics And Its Applicationsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectPower Lawen_US
dc.subjectTail Distributionsen_US
dc.subjectWorld Stock Market Indicesen_US
dc.titleTail distribution of index fluctuations in world marketsen_US
dc.typeArticleen_US

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