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

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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

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
URI https://vuir.vu.edu.au/id/eprint/3584
Official URL http://link.springer.com/article/10.1007/s11156-00...
Subjects Historical > Faculty/School/Research Centre/Department > Centre for Strategic Economic Studies (CSES)
Current > FOR Classification > 1402 Applied Economics
Historical > SEO Classification > 9101 Macroeconomics
Keywords ResPubID15486. aggregate stock prices, returns, diflogs , positive feedback, phases, kurtosis, optimism factor, credit
Citations in Scopus 8 - View on Scopus
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