TY - JOUR
T1 - A note on return distribution of UK stock indices
AU - Balaban, Ercan
AU - Ouenniche, Jamal
AU - Politou, Danae
PY - 2005/7/15
Y1 - 2005/7/15
N2 - The aim of this paper is to provide empirical evidence on the statistical distributions of returns on 32 UK sector indices as well as the FTSE-All and the FTSE-100 indices. These data are modelled for several holding periods, ranging from one day to one quarter, using symmetric stable Paretian distributions and their characteristic exponents are estimated. Numerical results suggest that both short and long horizon returns are non-normal and that deviation from normality is stronger for short horizon returns, with the exception of few sectors. In sum, these results suggest that asset pricing and risk management models, among others, should be modified to take into account departures form normality. © 2005 Taylor & Francis Group Ltd.
AB - The aim of this paper is to provide empirical evidence on the statistical distributions of returns on 32 UK sector indices as well as the FTSE-All and the FTSE-100 indices. These data are modelled for several holding periods, ranging from one day to one quarter, using symmetric stable Paretian distributions and their characteristic exponents are estimated. Numerical results suggest that both short and long horizon returns are non-normal and that deviation from normality is stronger for short horizon returns, with the exception of few sectors. In sum, these results suggest that asset pricing and risk management models, among others, should be modified to take into account departures form normality. © 2005 Taylor & Francis Group Ltd.
UR - https://www.scopus.com/pages/publications/23144460210
U2 - 10.1080/13504850500120383
DO - 10.1080/13504850500120383
M3 - Article
SN - 1350-4851
VL - 12
SP - 573
EP - 576
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 9
ER -