Normality of stock returns with event time clocks. (3rd July 2015)
- Record Type:
- Journal Article
- Title:
- Normality of stock returns with event time clocks. (3rd July 2015)
- Main Title:
- Normality of stock returns with event time clocks
- Authors:
- Ling, Xin
- Abstract:
- Abstract: We introduce a different way to measure time using event clocks, with which we can observe a normal distribution of intraday stock returns. Most finance studies employ a 'default' time measurement that uses a calendar clock. Cumulative evidence from prior literature shows that returns with a calendar clock follow a distribution with an excess kurtosis and a heavier tail, relative to a normal distribution. We examine the distribution of intraday stock returns using different clocks. We find that returns do not follow a normal distribution with a traditional calendar clock, but do follow a normal distribution when event clocks are applied.
- Is Part Of:
- Accounting and finance. Volume 57:(2017)Supplement 1
- Journal:
- Accounting and finance
- Issue:
- Volume 57:(2017)Supplement 1
- Issue Display:
- Volume 57, Issue 1 (2017)
- Year:
- 2017
- Volume:
- 57
- Issue:
- 1
- Issue Sort Value:
- 2017-0057-0001-0000
- Page Start:
- 277
- Page End:
- 298
- Publication Date:
- 2015-07-03
- Subjects:
- Event clock -- Intraday stock return -- Return distribution -- Transaction clock -- Normality
Accounting -- Periodicals
Finance -- Periodicals
657.05 - Journal URLs:
- http://estar.bl.uk/cgi-bin/sciserv.pl?collection=journals&journal=08105391 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/acfi.12150 ↗
- Languages:
- English
- ISSNs:
- 0810-5391
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 0573.589300
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 1934.xml