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Further Results on Asymmetric Stable Distributions of Stock Price Chances

Published online by Cambridge University Press:  19 October 2009

Bruce D. Fielitz
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Extract

In a previous paper in the Journal of the American Statistical Association, Fielitz and Smith [16] present evidence in favor of asymmetric members of the stable family of distributions for describing stock price changes. Support for this contention is derived from an empirical examination of the daily closing prices of 200 stocks from the New York Stock Exchange from December 23, 1963, to November 29, 1968. In particular, the empirical examination of these securities indicates that outliers (especially in the short-tail (left-hand tail) of the distributions), kurtosis, and skewness are present in the distributions. These characteristics are consistent with the hypothesis that stock price changes belong to the asymmetric class of members of the stable family of distributions.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 11 , Issue 1 , March 1976 , pp. 39 - 55
Copyright
Copyright © School of Business Administration, University of Washington 1976

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Footnotes

*

Georgia State University. The author wishes to express appreciation to Jay Light, Harvard University, and to an unidentified referee for helpful comments. Also, Charles Backer of the Georgia State University Computer Center provided computational assistance.

References

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