Modelling the Selection of Returns Distribution of G7 Countries

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Modelling the Selection of Returns Distribution of G7 Countries

Author Affiliations

¹ Jamal Institute of Management, Tiruchirappalli, South India, INDIA

Res. J. Management Sci., Volume 2, Issue (11), Pages 1-15, November,6 (2013)

Abstract

The purpose of the study is to identify the statistical distribution that is followed by the Indices returns of G7 countries. Canada is one of the members of the G7 countries but the data is insufficient and so it is not considered for the study. The closing values of indices were collected for selected countries from July 2003 to February 2013. The general assumption is that the stock returns are normally distributed. Using a statistical software 11 unbounded distributions was fitted for all the selected indices. The results show the returns follow different distributions that vary between countries.

References

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[ref1] Bachelier L., Theorie de la speculation, Super,111117, 2186 (1890)

[ref2] Black F. and Scholes M., The pricing of options and corporate liabilities, The journal of political economy 637-654 (1973)

[ref3] Bouchaud J.P. and Potters M., derivative pricing: from statistical physics to risk management, Cambridge University Press

[ref4] Jansen D.W. and De Vries C.G., on the frequency of large stock returns: Putting booms and busts into perspective, review of economics and statistic 18-24 (1991)

[ref5] Krawiecki A., Ho\nyst J.A. And Helbing D., Volatility clustering and scaling for financial time series due to attractor bubbling, Physical review letters 89 (15), 158701 (2002)

[ref6] Kullmann L., Töyli J., Kertesz J., Kanto A. and andKaski K., Characteristic times in stock market indices, Statistical Mechanics and its Applications(1999)

[ref7] Liu Y., Cizeau P., Meyer M., Peng C. K. and Eugene Stanley H., Correlations in economic time series, Statistical Mechanics and its Applications(1997)

[ref8] Mantegna R.N. and Stanley H.E., Stochastic process with ultraslow convergence to a Gaussian: the runcated Lévy flight, Physical Review Letters (1999)

[ref9] Mantegna R.N. and Stanley H.E., An Introduction to Econophysics, Correlations and Complexity in Finance, Cambridge University Press, Cambridge

[ref10] Mandelbrot B.B., The variation of certain speculative prices,(371-418) Springer New York (1997)