TY - JOUR
T1 - Some stylized facts of return in the foreign exchange and stock markets in Peru
AU - Humala, Alberto
AU - Rodriguez, Gabriel
PY - 2013/5
Y1 - 2013/5
N2 - 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.
AB - 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.
KW - Foreign exchange
KW - Foreign market returns
KW - Non-normality distribution
KW - Peru
KW - Returns
KW - Stock market return
KW - Stock markets
UR - http://www.scopus.com/inward/record.url?scp=84878249338&partnerID=8YFLogxK
U2 - 10.1108/10867371311325444
DO - 10.1108/10867371311325444
M3 - Article
AN - SCOPUS:84878249338
SN - 1086-7376
VL - 30
SP - 139
EP - 158
JO - Studies in Economics and Finance
JF - Studies in Economics and Finance
IS - 2
ER -