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A model for stock market returns: Non-Gaussian fluctuations and financial factors

Craven, Bruce Desmond and Islam, Sardar M. N (2008) A model for stock market returns: Non-Gaussian fluctuations and financial factors. Review of Quantitative Finance and Accounting, 30 (4). pp. 355-370. ISSN 0924-865X

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Abstract

While there are various theories to account for the large variations in stock prices, some observed statistical aspects require further analysis. A model is proposed for aggregate stock prices, based on observed data, rather than any efficient market hypothesis, and considering jumps in statistical parameters between phases of generally increasing, or generally decreasing, aggregate stock prices. The model relates a critical parameter for short-term behaviour directly to financial factors, especially interest rates, to explain large short-term variations which follow a non-Gaussian distribution. Economic fundamentals may affect changes over longer periods.

Item Type: Article
Uncontrolled Keywords: ResPubID15486. aggregate stock prices, returns, diflogs , positive feedback, phases, kurtosis, optimism factor, credit
Subjects: Faculty/School/Research Centre/Department > Centre for Strategic Economic Studies (CSES)
FOR Classification > 1402 Applied Economics
SEO Classification > 9101 Macroeconomics
Depositing User: VUIR
Date Deposited: 07 Sep 2011 04:21
Last Modified: 03 Feb 2015 23:44
URI: http://vuir.vu.edu.au/id/eprint/3584
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Citations in Scopus: 2 - View on Scopus

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