dc.contributor.author | Swoboda, Carlos | |
dc.contributor.author | Kaplan, Samuel | |
dc.date.accessioned | 2023-11-15T18:38:46Z | |
dc.date.available | 2023-11-15T18:38:46Z | |
dc.date.issued | 2019 | |
dc.identifier.isbn | 978-987-47318-5-2 | |
dc.identifier.uri | http://hdl.handle.net/11086/549900 | |
dc.description.abstract | The objective of this work is to present a set of analytical tools to characterize the
nature of the distribution of monthly returns of the stocks that comprised the
Merval index in the period 2002-2018, and at the same time compare the results
with those of the US market, where the same analysis will be performed for most
of the 30 equities that compose the Dow Jones Industrial Index. A set of univariate
normality tests will be resorted to, which include the Jarque - Bera and D’Agostino
K squared tests. The coefficients of skewness and kurtosis will be estimated to
better gauge the distribution of returns. Afterwards, multivariate normality tests
will be performed, particularly in concern with the third and fourth moments of
equities’ return distributions, and a Generalized Method of Moments (GMM) based
test will be used, allowing for contemporaneous correlation between securities
and accounting for its effect on skewness and kurtosis. | es |
dc.format.medium | Impreso | |
dc.language.iso | eng | es |
dc.rights | Licencia Creative Commons Atribución – No Comercial – Sin Obra Derivada 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | CAPM | es |
dc.subject | Portfolio theory | es |
dc.subject | Normality tests | es |
dc.subject | GMM | es |
dc.subject | Markov switching | es |
dc.title | Stock returns and their distribution: an empirical assessment of the US and Argentina’s stock market for the period 2002/18 | es |
dc.type | conferenceObject | es |
dc.description.fil | Fil: Swoboda, Carlos. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. | es |
dc.description.fil | Fil: Kaplan, Samuel. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. | es |
dc.description.field | Economía, Econometría | |
dc.conference.city | Córdoba | |
dc.conference.country | Argentina | |
dc.conference.editorial | Universidad Nacional de Córdoba | |
dc.conference.event | XIX International Finance Conference | |
dc.conference.eventcity | Córdoba | |
dc.conference.eventcountry | Argentina | |
dc.conference.eventdate | 2019 | |
dc.conference.institution | Universidad Nacional de Córdoba y Universidad Católica de Córdoba | |
dc.conference.journal | Anales de la XIX International Financial Conference | |
dc.conference.publication | Revista | |
dc.conference.work | Artículo Completo | |
dc.conference.type | Congreso | |