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Modelling Skewness and Kurtosis in the London Stock Exchange Ft-Se Index Return Distributions

Modelling Skewness and Kurtosis in the London Stock Exchange Ft-Se Index Return Distributions SummaryThis paper provides an empirical examination of the distribution of daily returns to the three London Stock Exchange indices, the FT-SE 100, Mid 250 and the 350, over the period 1986-92. Empirical densities are fitted to each of the return distributions before their shapes are explored by using Tukey’s g- and h-distributions. The returns are characterized by highly non-Gaussian behaviour, being both skewed and extremely kurtotic, although the shapes of the distributions depend on whether data from 1986 and 1987 are included or not. Some implications for portfolio analysis are drawn. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the Royal Statistical Society Series D: The Statistician Oxford University Press

Modelling Skewness and Kurtosis in the London Stock Exchange Ft-Se Index Return Distributions

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References (11)

Publisher
Oxford University Press
Copyright
© 1995 Royal Statistical Society
ISSN
2515-7884
eISSN
1467-9884
DOI
10.2307/2348703
Publisher site
See Article on Publisher Site

Abstract

SummaryThis paper provides an empirical examination of the distribution of daily returns to the three London Stock Exchange indices, the FT-SE 100, Mid 250 and the 350, over the period 1986-92. Empirical densities are fitted to each of the return distributions before their shapes are explored by using Tukey’s g- and h-distributions. The returns are characterized by highly non-Gaussian behaviour, being both skewed and extremely kurtotic, although the shapes of the distributions depend on whether data from 1986 and 1987 are included or not. Some implications for portfolio analysis are drawn.

Journal

Journal of the Royal Statistical Society Series D: The StatisticianOxford University Press

Published: Dec 5, 2018

Keywords: Empirical densities; g- and h -distributions; Portfolio analysis; Skewness and kurtosis; Stock returns

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