Statistical Distribution of Stock Returns Runs
In this paper, we focus on the statistical features of runs which is defined as a sequence of consecutive gain/loss (rise/fall) stock returns. By studying daily data of the Dow Jones industrial average (DJIA), we get the following points: firstly, the distribution of the length and magnitude of stock return runs both follow an exponential law; and secondly, the positive runs and negative runs show a significant asymmetry in frequency distribution. We expect that the two properties may be new members in the family of stylized facts about stock returns.
KeywordsStock Price Stock Return Stylize Fact Positive Return Negative Return
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