Structural Breaks and the Normality of Stock Returns

• 영문명: Structural Breaks and the Normality of Stock Returns
• 발행기관: 한국산업경영학회
• 저자명: SEUNGWOOK BAHNG(방승욱) 金石鎭, 高康錫
• 간행물 정보: 『한국산업경영학회 발표논문집』2003년도 하계 국제학술대회 발표논문집, 169~200쪽, 전체 32쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2003.08.01

영문 초록

  This paper attempts to explain the distribution of actual stock index returns using a mixture of the normal distributions model. This paper first defines the concept of structural breaks and derives a special form of structural breaks under the normality framework. It then applies the derived methodology to the monthly returns of the Swiss stock index to confirm whether the observed non-normality of stock returns can be explained with the derived model. Empirical results provide evidence that the entire period consists of three or four sub-periods in which different normal distributions exist. To check the statistical power of the model, this study generates random data from the normal distributions. Simulation results support the statistical power of the new methodology, and indicate the possibility that, despite being a seemingly non-normal test statistic for the entire data set, the underlying distribution is made up of a mixture of normal distributions.

목차

1. INTRODUCTION
2. THEORETICAL DERIVATION
3. EMPIRICAL RESULTS
4. TEST POWER CHECKS
5. CONCLUSION
REFERENCES
SUMMARY
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