ISSN 1842-4562
Member of DOAJ

Stylized Facts of the Daily and Monthly Returns for the European Stock Indices during 2007-2012


Iulian PANAIT
Alexandru CONSTANTINESCU


Keywords

stock returns, stylized facts, beta, emerging markets, frontier markets

Abstract

Our paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra, divided into three categories: mature, emerging and frontier markets. Our analysis confirms some of the conclusions of previous similar researches but also identifies some particularities for the monthly returns.



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