Some stylized facts of return in the foreign exchange and stock markets in Peru

Alberto Humala, Gabriel Rodriguez

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

Purpose: The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach: Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied. Dynamic correlations and different kernel estimations and approximations to the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Findings: The findings include: different types of non-normality in both markets, fat tails, excess furtosis, return clustering and unconditional time-varying moments. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events. Originality/value: The paper is the first work of this type in Peru.

Original languageEnglish
Pages (from-to)139-158
Number of pages20
JournalStudies in Economics and Finance
Volume30
Issue number2
DOIs
StatePublished - May 2013

Keywords

  • Foreign exchange
  • Foreign market returns
  • Non-normality distribution
  • Peru
  • Returns
  • Stock market return
  • Stock markets

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