Eom, Cheoljun, Kaizoji, Taisei and Scalas, Enrico (2019) Fat tails in financial return distributions revisited: evidence from the Korean stock market. Physica A Statistical Mechanics and its Applications, 526. p. 121055. ISSN 0378-4371
![]() |
PDF
- Accepted Version
Available under License Creative Commons Attribution-NonCommercial No Derivatives. Download (698kB) |
Abstract
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks than for large-capitalization stocks. After controlling for the 1997 Korean foreign currency crisis and using the GARCH filter models to control for volatility clustering in the returns, the fat tails in the distribution of residuals are found to persist. We show that market crashes and volatility clustering may not sufficiently account for the existence of fat tails in return distributions. These findings are robust regardless of period or type of stock group.
Item Type: | Article |
---|---|
Keywords: | Existence of fat tails, Statistical probability, Market crash, Volatility clustering, GARCH filter models |
Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Research Centres and Groups: | Probability and Statistics Research Group |
Subjects: | H Social Sciences > HG Finance > HG0101 Theory. Method. Relation to other subjects Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics |
Related URLs: | |
Depositing User: | Enrico Scalas |
Date Deposited: | 10 Apr 2019 11:54 |
Last Modified: | 11 Apr 2020 01:00 |
URI: | http://sro.sussex.ac.uk/id/eprint/83114 |
View download statistics for this item
📧 Request an updateProject Name | Sussex Project Number | Funder | Funder Ref |
---|---|---|---|
Unset | Unset | JSPS | S18099 |
KAKENHI | Unset | JSPS | 17K01270 |