haku: @indexterm stock returns / yhteensä: 261
viite: 12 / 261
| Tekijä: | Karaglou, M. |
| Otsikko: | Breaking down the non-normality of stock returns |
| Lehti: | European Journal of Finance
2010 : JAN/FEB, VOL. 16:1-2, p. 79-95 |
| Asiasana: | stock markets stock returns OECD models |
| Kieli: | eng |
| Tiivistelmä: | This paper examines if the non-normality (hereafter as: non-nrmty.) typically found in daily stock market returns could arise due to the joint existence of breaks and GARCH effects. Proposed is a data-driven procedure to credibly identify the number and timing of breaks. It is applied on the benchmark stock market indices of 27 OECD countries. It is suggested that a substantial element of the observed deviations from normality may indeed be due to the co-existence of breaks and GARCH effects. However, the structural changes' presence is found to be the primary reason for the non-nrmty. and not the GARCH effects. |
SCIMA