Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012

Panait, Iulian and Constantinescu, Alexandru (2012): Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012. Forthcoming in: Journal of Applied Quantitative Methods No. 3 (2012)

Abstract

Our paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divided into three categories: mature, emerging and frontier markets. Our analysis confirms some of the conclusions of previous similar researches but also identifies some particularities for the monthly returns.

• Item Type: MPRA Paper
• Language: English
• Keywords: stock returns, stylized facts, beta, emerging markets, frontier markets
• Subjects: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G0 - General > G01 - Financial Crises; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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