HYPERION ECONOMIC JOURNAL

Hyperion University of Bucharest
Blue Colour Green Colour Orange Colour Red Colour

HYPERION ECONOMIC JOURNAL

August 2019
Mo Tu We Th Fr Sa Su
29 30 31 1 2 3 4
5 6 7 8 9 10 11
12 13 14 15 16 17 18
19 20 21 22 23 24 25
26 27 28 29 30 31 1

Statistical properties for European stock indices returns during 2007-2012

 FULL TEXT

Authors:
  • Iulian Panait, Affiliation: Hyperion University, Bucharest, Romania.
Pages:  33 : 41
Abstract:

This paper presents a set of stylized empiricaI 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 vo/ati/ity than emerging and developed markets and that monthly squared returns presented less evidence of autocorrelations in comparison with the daily squared returns.

JEL classification:  G11, G15

 FULL TEXT