Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 

Autores
Swoboda, Carlos; Kaplan, Samuel
Año de publicación
2019
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
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
Materia
CAPM
Portfolio theory
Normality tests
GMM
Markov switching
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Repositorio
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/549900
Acceder
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oai_identifier_str oai:rdu.unc.edu.ar:11086/549900
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 Swoboda, CarlosKaplan, SamuelCAPMPortfolio theoryNormality testsGMMMarkov switchingFil: 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, Econometría2019info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdf978-987-47318-5-2http://hdl.handle.net/11086/549900enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-18T10:08:58Zoai:rdu.unc.edu.ar:11086/549900Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-18 10:08:58.871Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse
dc.title.none.fl_str_mv Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 
title Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 
spellingShingle Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 
Swoboda, Carlos
CAPM
Portfolio theory
Normality tests
GMM
Markov switching
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 
dc.creator.none.fl_str_mv Swoboda, Carlos
Kaplan, Samuel
author Swoboda, Carlos
author_facet Swoboda, Carlos
Kaplan, Samuel
author_role author
author2 Kaplan, Samuel
author2_role author
dc.subject.none.fl_str_mv CAPM
Portfolio theory
Normality tests
GMM
Markov switching
topic CAPM
Portfolio theory
Normality tests
GMM
Markov switching
dc.description.none.fl_txt_mv 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
description Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
publishDate 2019
dc.date.none.fl_str_mv 2019
dc.type.none.fl_str_mv info:eu-repo/semantics/conferenceObject
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_5794
info:ar-repo/semantics/documentoDeConferencia
format conferenceObject
status_str publishedVersion
dc.identifier.none.fl_str_mv 978-987-47318-5-2
http://hdl.handle.net/11086/549900
identifier_str_mv 978-987-47318-5-2
url http://hdl.handle.net/11086/549900
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositorio Digital Universitario (UNC)
instname:Universidad Nacional de Córdoba
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reponame_str Repositorio Digital Universitario (UNC)
collection Repositorio Digital Universitario (UNC)
instname_str Universidad Nacional de Córdoba
instacron_str UNC
institution UNC
repository.name.fl_str_mv Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba
repository.mail.fl_str_mv oca.unc@gmail.com
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score 13.000565

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