Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18
Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
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| Formato: | conferenceObject |
| Lenguaje: | Inglés |
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2023
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| Acceso en línea: | http://hdl.handle.net/11086/549900 |
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I10-R141-11086-5499002024-07-10T12:05:11Z Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 Swoboda, Carlos Kaplan, Samuel CAPM Portfolio theory Normality tests GMM Markov switching Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Kaplan, Samuel. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. The objective of this work is to present a set of analytical tools to characterize the nature of the distribution of monthly returns of the stocks that comprised the Merval index in the period 2002-2018, and at the same time compare the results with those of the US market, where the same analysis will be performed for most of the 30 equities that compose the Dow Jones Industrial Index. A set of univariate normality tests will be resorted to, which include the Jarque - Bera and D’Agostino K squared tests. The coefficients of skewness and kurtosis will be estimated to better gauge the distribution of returns. Afterwards, multivariate normality tests will be performed, particularly in concern with the third and fourth moments of equities’ return distributions, and a Generalized Method of Moments (GMM) based test will be used, allowing for contemporaneous correlation between securities and accounting for its effect on skewness and kurtosis. Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Kaplan, Samuel. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Economía, Econometría 2023-11-15T18:38:46Z 2023-11-15T18:38:46Z 2019 conferenceObject 978-987-47318-5-2 http://hdl.handle.net/11086/549900 eng Licencia Creative Commons Atribución – No Comercial – Sin Obra Derivada 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ Impreso |
| institution |
Universidad Nacional de Córdoba |
| institution_str |
I-10 |
| repository_str |
R-141 |
| collection |
Repositorio Digital Universitario (UNC) |
| language |
Inglés |
| topic |
CAPM Portfolio theory Normality tests GMM Markov switching |
| spellingShingle |
CAPM Portfolio theory Normality tests GMM Markov switching Swoboda, Carlos Kaplan, Samuel Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| topic_facet |
CAPM Portfolio theory Normality tests GMM Markov switching |
| description |
Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. |
| format |
conferenceObject |
| author |
Swoboda, Carlos Kaplan, Samuel |
| author_facet |
Swoboda, Carlos Kaplan, Samuel |
| author_sort |
Swoboda, Carlos |
| title |
Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| title_short |
Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| title_full |
Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| title_fullStr |
Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| title_full_unstemmed |
Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 |
| title_sort |
stock returns and their distribution: an empirical assessment of the us and argentina’s stock market for the period 2002/18 |
| publishDate |
2023 |
| url |
http://hdl.handle.net/11086/549900 |
| work_keys_str_mv |
AT swobodacarlos stockreturnsandtheirdistributionanempiricalassessmentoftheusandargentinasstockmarketfortheperiod200218 AT kaplansamuel stockreturnsandtheirdistributionanempiricalassessmentoftheusandargentinasstockmarketfortheperiod200218 |
| _version_ |
1806949641841803264 |