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| Author: | Harrison, P. |
| Title: | Similarities in the distribution of stock market price changes between the eighteenth and twentieth centuries. |
| Journal: | Journal of Business
1998 : JAN, VOL. 71:1, p. 55-79 |
| Index terms: | STOCK MARKETS SHARE PRICES TIME SERIES |
| Language: | eng |
| Abstract: | The author examines the question: Are all financial time series alike? The article raises that question by establishing that eighteenth- and twentieth-century equity market time series behave similarly. The distribution of price changes now and then both exhibit the same patterns or regularities. In particular. the distribution of price changes is leptokurtic, and fluctuations in variance are persistent. The article provides further evidence that financial market regularities are stable and not contingent on specific times and places. |
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