Author(s): Iulian Panait
Journal: Hyperion Economic Journal
ISSN 2343-7995
Volume: 1;
Issue: 2;
Start page: 33;
Date: 2013;
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Keywords: stock returns | stylized facts | emerging markets | frontier markets
ABSTRACT
This 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 most of the stylized facts introduced by Cont (2001) but finds that frontier markets showed less volatility than emerging and developed markets and that monthly squared returns presented less evidence of autocorrelations in comparison with the daily squared returns.
Journal: Hyperion Economic Journal
ISSN 2343-7995
Volume: 1;
Issue: 2;
Start page: 33;
Date: 2013;
VIEW PDF
DOWNLOAD PDF Original pageKeywords: stock returns | stylized facts | emerging markets | frontier markets
ABSTRACT
This 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 most of the stylized facts introduced by Cont (2001) but finds that frontier markets showed less volatility than emerging and developed markets and that monthly squared returns presented less evidence of autocorrelations in comparison with the daily squared returns.
