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Heavy tails and asymmetry of returns in the Russian stock market

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Title: Heavy tails and asymmetry of returns in the Russian stock market
Authors: Ankudinov, A
Ibragimov, R
Lebedev, O
Item Type: Journal Article
Abstract: The paper presents the robust estimates of tail indices for financial returns and returns asymmetry in the Russian stock market. We also investigate the relation between individual characteristics of companies and the degree of heavy-tailedness and asymmetry of returns. According to our estimates, the degree of heavy-tailedness is strongly related to the liquidity of stocks and the company size. At the same time, no significant effects on estimates of the tail indices of sectoral affiliation, cross-listing, adding into quotation lists, state ownership are revealed. As for the influence of the above-mentioned factors on the asymmetry of returns, the statistical reliability of relevant models is rather low. However, certain indicators of the asymmetry are observed for medium-sized regional companies, the majority showing a heavier right tail compared to the left tail. We also discuss the implications of our findings for managerial decisions and economic modeling. Our results may be useful for risk-managers, financial regulators, investors and policy-makers.
Issue Date: 1-Sep-2017
Date of Acceptance: 25-Aug-2017
URI: http://hdl.handle.net/10044/1/67550
DOI: https://dx.doi.org/10.1016/j.ememar.2017.08.005
ISSN: 1566-0141
Publisher: Elsevier
Start Page: 200
End Page: 219
Journal / Book Title: Emerging Markets Review
Volume: 32
Copyright Statement: © 2017 Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor/Funder: Russian Science Foundation
Funder's Grant Number: 16-18-10432
Keywords: Social Sciences
Business, Finance
Business & Economics
Heavy tails
Emerging markets
Russian economy
Asymmetry of returns
Determinants of heavy-tailedness
Log-log rank-size regression
1402 Applied Economics
Publication Status: Published
Online Publication Date: 2017-09-04
Appears in Collections:Imperial College Business School