KFU. Card publication. Heavy tails and asymmetry of returns in the Russian stock market

KAZAN
FEDERAL UNIVERSITY

- RUS
- 中文
- ES

HEAVY TAILS AND ASYMMETRY OF RETURNS IN THE RUSSIAN STOCK MARKET

Form of presentation

Articles in Russian journals and collections

Year of publication

2017

Язык

английский

Authors, employees of KFU

Ankudinov Andrey Borisovich, author

Lebedev Oleg Vladimirovich, author

Bibliographic description in the original language

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

Annotation

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

Keywords

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

The name of the journal

Emerging Markets Review

URL

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

Please use this ID to quote from or refer to the card

https://repository.kpfu.ru/eng/?p_id=170400&p_lang=2

Resource files

File name	Size (MB)	Format
F_EMR.pdf	0,95	pdf	show / download

Full metadata record

Field DC	Value	Language
dc.contributor.author	Ankudinov Andrey Borisovich	ru_RU
dc.contributor.author	Lebedev Oleg Vladimirovich	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/eng/?p_id=170400&p_lang=2	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	Articles in Russian journals and collections	ru_RU