HYPERION ECONOMIC JOURNAL

Hyperion University of Bucharest
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HYPERION ECONOMIC JOURNAL

April 2019
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Statistical properties for European stock indices returns during 2007-2012

Keywords: stock returns , stylized facts , emerging markets , frontier markets

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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

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