Imperial College London

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Gu:2018:10.1016/j.jempfin.2017.11.008,
author = {Gu, Z and Ibragimov, R},
doi = {10.1016/j.jempfin.2017.11.008},
journal = {JOURNAL OF EMPIRICAL FINANCE},
pages = {182--190},
title = {The "Cubic Law of the Stock Returns" in emerging markets},
url = {http://dx.doi.org/10.1016/j.jempfin.2017.11.008},
volume = {46},
year = {2018}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - Excess volatility in main emerging and developed stock markets is carefully analysed in this study. Tail distribution of returns of both stock market index and individual stocks is evaluated and compared with the theoretical distribution found by Gabaix et al. (2003, 2006). For stock market index, recursive and rolling estimation are used. In recursive estimation, we find that all the developed markets obey “the Cubic Law of the Stock Returns”, while most of the emerging countries exhibit heavier tail with a tail index lower than 3 at 95% significance level. In rolling estimation, the tail index in the developed markets does not stabilise around 3, and after 2008 financial crisis, all the developed markets and most emerging ones suffer a drop in the tail index. For individual stocks, the tail distributions of stock returns, trading volume, and the number of trades in each emerging country behave quite differently from the theoretical model by Gabaix et al. (2006), especially the stock returns.
AU - Gu,Z
AU - Ibragimov,R
DO - 10.1016/j.jempfin.2017.11.008
EP - 190
PY - 2018///
SN - 0927-5398
SP - 182
TI - The "Cubic Law of the Stock Returns" in emerging markets
T2 - JOURNAL OF EMPIRICAL FINANCE
UR - http://dx.doi.org/10.1016/j.jempfin.2017.11.008
UR - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000429390000011&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR - http://hdl.handle.net/10044/1/60132
VL - 46
ER -