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Statistical Distribution of Stock Returns Runs

  • Honggang Li
  • Yan Gao
Conference paper
Part of the New Economic Windows book series (NEW)

Summary

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.

Keywords

Stock Price Stock Return Stylize Fact Positive Return Negative Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2006

Authors and Affiliations

  • Honggang Li
    • 1
  • Yan Gao
    • 1
  1. 1.Department of Systems Science, School of ManagementBeijing Normal UniversityBeijingChina

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