Statistical analysis of the price index of Tehran Stock Exchange

Physics – Condensed Matter – Other Condensed Matter

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

This paper presents a statistical analysis of Tehran Price Index (TePIx) for the period of 1992 to 2004. The results present asymmetric property of the return distribution which tends to the right hand of the mean. Also the return distribution can be fitted by a stable Levy distribution and the tails are very fatter than the gaussian distribution. We estimate the tail index of the TePIx returns with two different methods and the results are consistent with the previous studies on the stock markets. A strong autocorrelation has been detected in the TePIx time series representing a long memory of several trading days. We have also applied a Zipf analysis on the TePIx data presenting strong correlations between the TePIx daily fluctuations. We hope that this paper be able to give a brief description about the statistical behavior of financial data in Iran stock market.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Statistical analysis of the price index of Tehran Stock Exchange does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Statistical analysis of the price index of Tehran Stock Exchange, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Statistical analysis of the price index of Tehran Stock Exchange will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-718401

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.