КФУ. Карточка публикации. Heavy tails and asymmetry of returns in the Russian stock market

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HEAVY TAILS AND ASYMMETRY OF RETURNS IN THE RUSSIAN STOCK MARKET

Форма представления

Статьи в российских журналах и сборниках

Год публикации

2017

Язык

английский

Авторы, сотрудники КФУ

Анкудинов Андрей Борисович, автор

Лебедев Олег Владимирович, автор

Библиографическое описание на языке оригинала

Ankudinov A., Ibragimov R., Lebedev O. Heavy tails and asymmetry of returns in the Russian stock market // Emerging Markets Review. – 2017. – Vol. 32. – pp. 200-219. - https://doi.org/10.1016/j.ememar.2017.08.005

Аннотация

The paper presents the robust estimates of tail indices for financial returns and returns asymmetry in the Russian stock market. We also investigate the relation between individual characteristics of companies and the degree of heavy-tailedness and asymmetry of returns. According to our estimates, the degree of heavy-tailedness is strongly related to the liquidity of stocks and the company size. At the same time, no significant effects on estimates of the tail indices of sectoral affiliation, cross-listing, adding into quotation lists, state ownership are revealed. As for the influence of the above-mentioned factors on the asymmetry of returns, the statistical reliability of relevant models is rather low. However, certain indicators of the asymmetry are observed for medium-sized regional companies, the majority showing a heavier right tail compared to the left tail. We also discuss the implications of our findings for managerial decisions and economic modeling. Our results may be usefu

Ключевые слова

Asymmetry of returns, Determinants of heavy-tailedness, Emerging markets, Heavy tails, Log-log rank-size regression, Russian economy

Название журнала

Emerging Markets Review

URL

http://www.sciencedirect.com/science/article/pii/S1566014117303199

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https://repository.kpfu.ru/?p_id=170400

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Полная запись метаданных

Поле DC	Значение	Язык
dc.contributor.author	Анкудинов Андрей Борисович	ru_RU
dc.contributor.author	Лебедев Олег Владимирович	ru_RU
dc.date.accessioned	2017-01-01T00:00:00Z	ru_RU
dc.date.available	2017-01-01T00:00:00Z	ru_RU
dc.date.issued	2017	ru_RU
dc.identifier.citation	Ankudinov A., Ibragimov R., Lebedev O. Heavy tails and asymmetry of returns in the Russian stock market // Emerging Markets Review. – 2017. – Vol. 32. – pp. 200-219. - https://doi.org/10.1016/j.ememar.2017.08.005	ru_RU
dc.identifier.uri	https://repository.kpfu.ru/?p_id=170400	ru_RU
dc.description.abstract	Emerging Markets Review	ru_RU
dc.description.abstract	The paper presents the robust estimates of tail indices for financial returns and returns asymmetry in the Russian stock market. We also investigate the relation between individual characteristics of companies and the degree of heavy-tailedness and asymmetry of returns. According to our estimates, the degree of heavy-tailedness is strongly related to the liquidity of stocks and the company size. At the same time, no significant effects on estimates of the tail indices of sectoral affiliation, cross-listing, adding into quotation lists, state ownership are revealed. As for the influence of the above-mentioned factors on the asymmetry of returns, the statistical reliability of relevant models is rather low. However, certain indicators of the asymmetry are observed for medium-sized regional companies, the majority showing a heavier right tail compared to the left tail. We also discuss the implications of our findings for managerial decisions and economic modeling. Our results may be usefu	ru_RU
dc.language.iso	ru	ru_RU
dc.subject	Asymmetry of returns	ru_RU
dc.subject	Determinants of heavy-tailedness	ru_RU
dc.subject	Emerging markets	ru_RU
dc.subject	Heavy tails	ru_RU
dc.subject	Log-log rank-size regression	ru_RU
dc.subject	Russian economy	ru_RU
dc.title	Heavy tails and asymmetry of returns in the Russian stock market	ru_RU
dc.type	Статьи в российских журналах и сборниках	ru_RU