Artikel
Volatility and Kurtosis of daily stock returns at MSE
Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian) distribution. However, many authors argue that in the practice stock returns are often characterized by skewness and kurtosis, so we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility clustering and high kurtosis. The fact that daily stock returns at MSE are not normally distributed put into doubt results that rely heavily on this assumption and have significant implications for portfolio management. We consider this stock market as good representatives of emerging markets. Therefore, we argue that our results are valid for other similar emerging stock markets.
- Sprache
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Englisch
- Erschienen in
-
Journal: UTMS Journal of Economics ; ISSN: 1857-6982 ; Volume: 6 ; Year: 2015 ; Issue: 2 ; Pages: 209-221 ; Skopje: University of Tourism and Management
- Klassifikation
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
models
leptokurtic
investment
stocks
- Ereignis
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Geistige Schöpfung
- (wer)
-
Ivanovski, Zoran
Stojanovski, Toni
Narasanov, Zoran
- Ereignis
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Veröffentlichung
- (wer)
-
University of Tourism and Management
- (wo)
-
Skopje
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ivanovski, Zoran
- Stojanovski, Toni
- Narasanov, Zoran
- University of Tourism and Management
Entstanden
- 2015
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