Comparison of gain-loss asymmetry behavior for stocks and indexes

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Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and for most of individual companies stocks. The gain-loss asymmetry for these data, measured by the coefficient, that we postulated before \cite{karpio}, has opposite sign to this for WIG index.
To be published in Acta Phys. Pol. B

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Physics and Society, Data Analysis, Statistics and Probability, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209113

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0608214
 http://arxiv.org/abs/physics/0608214

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arXiv