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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 tietueen numero: 272219
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