Kaizoji, Taisei (2010): Stock volatility in the periods of booms and stagnations. Published in: Science and Culture , Vol. 76, No. 9-10 : pp. 459-465.
This is the latest version of this item.
Download (434kB) | Preview
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii) the Dow Jones Industrial Average (DJIA) from January 2, 1946 to August 18, 2004, of (iii) Standard and Poor’s 500 index (SP500) from November 22, 1982 to August 18, 2004, and of (iii) the Financial Times Stock Exchange 100 index (FT 100) from April 2, 1984 to August 18, 2004. We divide the time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties of absolute log return, which is a typical measure of volatility, for each period. We find that (i) the tail of the distribution of the absolute log-returns is approximated by a power-law function with the exponent close to 3 in the periods of booms while the distribution is described by an exponential function with the scale parameter close to unity in the periods of stagnations.
|Item Type:||MPRA Paper|
|Original Title:||Stock volatility in the periods of booms and stagnations|
|English Title:||Stock volatility in the periods of booms and stagnations|
|Keywords:||volatility, boom, and stagnation, stock price indices|
|Subjects:||?? C16 ??
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D - Microeconomics > D3 - Distribution > D30 - General
G - Financial Economics > G1 - General Financial Markets > G19 - Other
|Depositing User:||Taisei KAIZOJI|
|Date Deposited:||22. Aug 2012 14:03|
|Last Modified:||24. Sep 2015 03:52|
Barndorff-Nielsen, O.E., 1997, Normal inverse Gaussian distributions and the modelling of stock returns, Scandinavian Journal of Statistics 24, 1-13.
Dacorogna M.M., U.A. Muller, O.V. Pictet and C.G. de Vries, 1992, The distribution of extremal foreign exchange rate returns in large date sets, Working Paper, Olsen and Associates Internal Documents UAM, 19921022.
Eberlein, E., Keller, U. and Prause, K., 1998, New insights into smile, mispricing and value at risk: the hyperbolic model, Journal of Business 71, 371-405.
Embrechts P., C.P. Kluppelberg and T. Mikosh, 1997, Modelling Extremal Events (Springer-Verlag).
Fama E.F., 1965, The Behavior of Stock Market Prices, Journal of Business 38, 34-105.
Gopikrishnan, P., V. Plerou, L. A. N. Amaral, M. Meyer, and H. E. Stanley, 1999, Scaling of the distributions of fluctuations of financial market indices, Phys. Rev. E 60, 5305-5316.
Guillaume D.M., M.M. Dacorogna, R.R. Dav´e, U.A. Muller, R.B. Olsen and O.V. Pictet, 1997, From the bird’s eye to the microscope: a survey of new stylized facts of the intra-day foreign exchange markets, Finance and Stochastics 1, 95-130.
Kaizoji, T. and M. Kaizoji, 2003, Empirical laws of a stock price index and a stochastic model, Advances in Complex Systems 6 (3) 1-10.
Kaizoji, T., 2005, Statistical properties of the volatility and a stochastic model of markets with heterogeneous agents, in Lux, T., S. Reitz and E. Samanidou, eds., Heterogeneous Agents and Nonlinear Dynamics: Lecture Notes in Economics and Mathematical Systems, Berlin: Springer-Verlag (2005), pp.237-248.
Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji, and In-mook Kim, Increasing market efficiency in the stock markets, Eur. Phys. J. B 61, 241–246 (2008).
Laherrere J. and D. Sornette, 1999, Stretched exponential distributions in nature and economy: Fat tails with characteristic scales, European Physical Journal B 2, 525-539.
Liu, Y., P. Gopikrishnan,, P. Cizeau,, M. Meyer, C-K. Peng, and H. E. Stanley, 1990, Statistical properties of the volatility of price fluctuations, Physical Review E 60 (2) 1390-1400.
Longin F.M., 1996, The asymptotic distribution of extreme stock market returns,Journal of Business 96, 383-408.
Lux T., 1996, The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks, Applied Financial Economics 6, 463-475.
Y. Malevergne, V. Pisarenko and D. Sornette, (2005): Empirical distributions of stock returns: Exponential or power-like?, Quantitative Finance 5, 379-401.
Mandelbrot B., 1963, The variation of certain speculative prices, Journal of Business 36, 392-417.
Muller U.A., M.M.Dacarogna, O.V.Picktet, 1998, Heavy Tails in High-Frequency Financial Data, In: A Practical Guide to Heavy Tails, pp.55-78, Eds. R.J.Adler, R.E.Feldman, M.S.Taqqu, Birkhauser, Boston.
Pagan A., 1996, The econometrics of financial markets, Journal of Empirical Finance 3,15-102.
Plerou, V., P. Gopikrishnan, L. A. N. Amaral, M. Meyer, and H. E. Stanley, Scaling of the distribution of price fluctuations of individual companies, Phys. Rev. E 60, 6519-6529.
Vries, de C.G., 1994, Stylized facts of nominal exchange rate returns, in The Handbook of International Macroeconomics, F. van der Ploeg (ed.), 348-389 (Blackwell).
Available Versions of this Item
Stock volatility in the periods of booms and stagnations. (deposited 09. Jul 2010 22:14)
- Stock volatility in the periods of booms and stagnations. (deposited 22. Aug 2012 14:03) [Currently Displayed]