Summary
In this paper, we focus on the statistical features of runs which is defined as a sequence of consecutive gain/loss (rise/fall) stock returns. By studying daily data of the Dow Jones industrial average (DJIA), we get the following points: firstly, the distribution of the length and magnitude of stock return runs both follow an exponential law; and secondly, the positive runs and negative runs show a significant asymmetry in frequency distribution. We expect that the two properties may be new members in the family of stylized facts about stock returns.
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© 2006 Springer-Verlag Italia
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Li, H., Gao, Y. (2006). Statistical Distribution of Stock Returns Runs. In: Chatterjee, A., Chakrabarti, B.K. (eds) Econophysics of Stock and other Markets. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-0502-0_6
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DOI: https://doi.org/10.1007/978-88-470-0502-0_6
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0501-3
Online ISBN: 978-88-470-0502-0
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