Abstract
We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases. This procedure shows convincingly that stock returns, when taken as a group, do not come from stable populations. Even for individual stocks, our results show that the stable-population- model null hypothesis can be rejected for more than 95% of the stocks.
| Original language | English |
|---|---|
| Pages (from-to) | 217-223 |
| Number of pages | 7 |
| Journal | Journal of Business and Economic Statistics |
| Volume | 8 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1990 |
| Externally published | Yes |
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All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty
- Social Sciences (miscellaneous)
Cite this
The distribution of stock returns : New evidence against the stable model. / Lau, Amy Hing Ling; Lau, Hon Shiang; Wingender, John R.
In: Journal of Business and Economic Statistics, Vol. 8, No. 2, 1990, p. 217-223.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The distribution of stock returns
T2 - New evidence against the stable model
AU - Lau, Amy Hing Ling
AU - Lau, Hon Shiang
AU - Wingender, John R.
PY - 1990
Y1 - 1990
N2 - We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases. This procedure shows convincingly that stock returns, when taken as a group, do not come from stable populations. Even for individual stocks, our results show that the stable-population- model null hypothesis can be rejected for more than 95% of the stocks.
AB - We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases. This procedure shows convincingly that stock returns, when taken as a group, do not come from stable populations. Even for individual stocks, our results show that the stable-population- model null hypothesis can be rejected for more than 95% of the stocks.
UR - http://www.scopus.com/inward/record.url?scp=0001436552&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0001436552&partnerID=8YFLogxK
U2 - 10.1080/07350015.1990.10509793
DO - 10.1080/07350015.1990.10509793
M3 - Article
AN - SCOPUS:0001436552
VL - 8
SP - 217
EP - 223
JO - Journal of Business and Economic Statistics
JF - Journal of Business and Economic Statistics
SN - 0735-0015
IS - 2
ER -