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Applied Financial Economics Volume 4, 1994 - Issue 6
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Original Articles

The distribution of stock returns: international evidence

Amado Peiró Department of Economic Analysis, University of Valencia, Valencia, Spain
Pages 431-439 | Published online: 10 Dec 2010

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F. Pizzutilo. (2012) The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions. Applied Financial Economics 22:20, pages 1743-1752.
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Alexander M. Eastman & Brian M. Lucey. (2008) Skewness and asymmetry in futures returns and volumes. Applied Financial Economics 18:10, pages 777-800.
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Andreas Behr. (2007) Assessing the stability of Gaussian mixture models for monthly returns of the S&P 500 index. Applied Financial Economics Letters 3:4, pages 215-220.
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Graham Smith. (2007) Random walks in Middle Eastern stock markets. Applied Financial Economics 17:7, pages 587-596.
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Colm Kearney & Margaret Lynch. (2007) Are international equity markets really asymmetric?. Applied Financial Economics 17:5, pages 399-411.
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Rodolfo Q. Aquino. (2006) Efficiency of the Philippine stock market. Applied Economics Letters 13:7, pages 463-470.
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Nunzio Cappuccio, Diego Lubian & Davide Raggi. (2006) Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model. Applied Financial Economics 16:6, pages 479-490.
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Anders Ekholm & Daniel Pasternack. (2005) The negative news threshold—An explanation for negative skewness in stock returns. The European Journal of Finance 11:6, pages 511-529.
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Richard D. F. Harris, C. Coskun Küçüközmen & Fatih Yilmaz. (2004) Skewness in the conditional distribution of daily equity returns. Applied Financial Economics 14:3, pages 195-202.
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Graham Smith. (2002) Tests of the random walk hypothesis for London gold prices. Applied Economics Letters 9:10, pages 671-674.
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Richard D. F. Harris & C. Coskun Küçüközmen. (2001) The empirical distribution of stock returns: evidence from an emerging European market. Applied Economics Letters 8:6, pages 367-371.
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Felipe M. Aparicio & Javier Estrada. (2001) Empirical distributions of stock returns: European securities markets, 1990-95. The European Journal of Finance 7:1, pages 1-21.
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Federica De Domenico, Giacomo Livan, Guido Montagna & Oreste Nicrosini. (2023) Modeling and simulation of financial returns under non-Gaussian distributions. Physica A: Statistical Mechanics and its Applications 622, pages 128886.
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EMANUELE MARIA CARLUCCIO, PAOLO ANTONIO CUCURACHI & UGO POMANTE. (2023) ABSOLUTE OR RELATIVE: THE DARK SIDE OF FUND RATING SYSTEMS. Journal of Financial Management, Markets and Institutions 11:01.
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Junbo Huang, Huiting Tian & Weibing Shen. (2023) Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices. International Review of Financial Analysis 87, pages 102644.
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Yuanrong Wang & Tomaso Aste. (2023) Dynamic portfolio optimization with inverse covariance clustering. Expert Systems with Applications 213, pages 118739.
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Anton GerunovAnton Gerunov. 2023. Risk Analysis for the Digital Age. Risk Analysis for the Digital Age 41 79 .
Till Massing & Arturo Ramos. (2021) Student’s mixture models for stock indices. A comparative study . Physica A: Statistical Mechanics and its Applications 580, pages 126143.
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Cheoljun Eom, Taisei Kaizoji, Giacomo Livan & Enrico Scalas. (2021) Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence. The North American Journal of Economics and Finance 56, pages 101358.
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Edward Anderson & Harrison Nguyen. (2020) When can we improve on sample average approximation for stochastic optimization?. Operations Research Letters 48:5, pages 566-572.
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Till Massing. (2019) What is the best Lévy model for stock indices? A comparative study with a view to time consistency. Financial Markets and Portfolio Management 33:3, pages 277-344.
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Cheoljun Eom, Taisei Kaizoji & Enrico Scalas. (2019) Fat tails in financial return distributions revisited: Evidence from the Korean stock market. Physica A: Statistical Mechanics and its Applications 526, pages 121055.
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Alex Kusen & Markus Rudolf. (2019) Feedback trading: Strategies during day and night with global interconnectedness. Research in International Business and Finance 48, pages 438-463.
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Benjamin R. Auer. (2018) Does the strength of capital market anomalies exhibit seasonal patterns?. Journal of Economics and Finance 43:1, pages 91-103.
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Jordan French. (2017) The One: A Simulation of CAPM Market Returns . The Journal of Wealth Management 20:1, pages 126-147.
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DESISLAVA CHETALOVA, THILO A. SCHMITT, RUDI SCHÄFER & THOMAS GUHR. (2015) PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS. International Journal of Theoretical and Applied Finance 18:02, pages 1550012.
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Benjamin R. Auer. (2013) Could diamonds become an investor’s best friend?. Review of Managerial Science 8:3, pages 351-383.
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Christian Gabriel & Christian Lau. (2014) On the distribution of government bond returns: evidence from the EMU. Financial Markets and Portfolio Management 28:2, pages 181-203.
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K. Nidhin & C. Chandran. (2013) Importance of Generalized Logistic Distribution in Extreme Value Modeling. Applied Mathematics 04:03, pages 560-573.
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María del Mar López Martín, Catalina García García & José García Pérez. (2012) Treatment of kurtosis in financial markets. Physica A: Statistical Mechanics and its Applications 391:5, pages 2032-2045.
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Andreas Behr, Anastasia Diel, Magdalene Morawietz & Katja Theune. 2012. Essener Beiträge zur empirischen Wirtschaftsforschung. Essener Beiträge zur empirischen Wirtschaftsforschung 21 37 .
Ron Guido, Joshua Pearl & Kathleen Walsh. (2011) Market timing under multiple economic regimes. Accounting & Finance 51:2, pages 501-515.
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Sun Shaorong & Cui Xiaoli. (2010) An Analysis to Critical Points of Making Profit through Investment Transaction Behavior without Transaction Costs and the Theoretical Basis of Stop-loss Point Method. An Analysis to Critical Points of Making Profit through Investment Transaction Behavior without Transaction Costs and the Theoretical Basis of Stop-loss Point Method.
Andreas Behr & Ulrich Pötter. (2007) Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. Annals of Finance 5:1, pages 49-68.
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Markus Haas & Christian Pigorsch. 2011. Complex Systems in Finance and Econometrics. Complex Systems in Finance and Econometrics 308 339 .
Markus Haas & Christian Pigorsch. 2009. Encyclopedia of Complexity and Systems Science. Encyclopedia of Complexity and Systems Science 3404 3435 .
Hai Lin. (2008) Modeling Nonnormality of Chinese Stock Returns: Jump, GED Distribution or T Distribution?. Modeling Nonnormality of Chinese Stock Returns: Jump, GED Distribution or T Distribution?.
Graham Smith & Gillian Rogers. (2006) VARIANCE RATIO TESTS OF THE RANDOM WALK HYPOTHESIS FOR SOUTH AFRICAN STOCK FUTURES. South African Journal of Economics 74:3, pages 410-421.
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KEITH JEFFERIS & GRAHAM SMITH. (2005) CAPITALISATION AND WEAK‐FORM EFFICIENCY IN THE JSE SECURITIES EXCHANGE. South African Journal of Economics 72:4, pages 684-707.
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G. D. Gettinby, C. D. Sinclair, D. M. Power & R. A. Brown. (2004) An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000. Journal of Business Finance & Accounting 31:5-6, pages 607-646.
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J.Samuel Baixauli & Susana Alvarez. (2004) Analysis of the conditional stock-return distribution under incomplete specification. European Journal of Operational Research 155:2, pages 276-283.
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M. Ausloos. (2000) Gas-kinetic theory and Boltzmann equation of share price within an equilibrium market hypothesis and ad hoc strategy. Physica A: Statistical Mechanics and its Applications 284:1-4, pages 385-392.
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Javier Estrada. (2000) The temporal dimension of risk. The Quarterly Review of Economics and Finance 40:2, pages 189-204.
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Amado Peiró. (1999) Skewness in financial returns. Journal of Banking & Finance 23:6, pages 847-862.
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Gaurav Agrawal. (2006) Impact of Sample Size on the Distribution of Stock Returns - An Investigation of Nifty & Sensex. SSRN Electronic Journal.
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Brian M. Lucey & Alex Eastman. (2006) Skewness and Asymmetry in Futures Returns and Volumes. SSRN Electronic Journal.
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João Luís Duque & Nuno Abrantes Ferreira. (2005) Explaining Share Price Performance of Football Clubs Listed on the Euronext Lisbon. SSRN Electronic Journal.
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Yuanrong Wang & Tomaso Aste. (2022) Dynamic Portfolio Optimization with Inverse Covariance Clustering. SSRN Electronic Journal.
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Felipe Miguel Aparicio & Javier Estrada. (1997) Empirical Distributions of Stock Returns: European Securities Markets, 1990-95. SSRN Electronic Journal.
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Javier Estrada. (1997) Random Walks and the Temporal Dimension of Risk. SSRN Electronic Journal.
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Alex Kusen & Markus Rudolf. (2018) Feedback Trading: Strategies during Day and Night with Global Interconnectedness. SSRN Electronic Journal.
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Ahmet Goncu & Yurun Yang. (2018) Anatomy of Chinese Futures Markets. SSRN Electronic Journal.
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Klaus Berge & William T. Ziemba. (2002) The Predictive Ability of the Bond Stock Earnings Yield Differential in World-wide Equity Markets. SSRN Electronic Journal.
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Elisa Luciano & Marina Marena. (2001) Value at Risk Bounds for Portfolios of Non-Normal Returns. SSRN Electronic Journal.
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Ahmet Goncu, Mehmet OOuz Karahan & Tolga Umut Kuzubas. (2015) A Comparative Goodness-of-Fit Analysis of Distributions of Some LLvy Processes and Heston Model to Stock Index Returns. SSRN Electronic Journal.
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Nagaratnam Jeyasreedharan. (2008) Extremal Expectations: A Paradigm for Fat-Tails. SSRN Electronic Journal.
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