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ASYMMETRY OF RETURNS IN THE AUSTRALIAN STOCK MARKET

SUSAN M. GUNNER

School of Business Economics, Flinders University, GPO Box 2100, Adelaide, SA 5001, Australia

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LOUISE BROOKS

Faculty of Science and Engineering, Flinders University and NCVER, Adelaide, Australia

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, and

ROBIN G. STORER

School of Chemistry, Physics and Earth Sciences, Flinders University, Adelaide, Australia

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https://doi.org/10.1142/S0129183106008960Cited by:0 (Source: Crossref)

Abstract

We use econophysics techniques to investigate the characteristics of the distribution of returns from the All Ordinaries Index and from optimal portfolios constructed from individual stocks on the Australian Stock Exchange. We find in general that the tails of the distributions are asymmetric and that the negative tail favours a power-law behaviour while the positive tail is more Gaussian.

Keywords:

PACS: 64.60.L, 89.90.+n

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