Scale Free Tails in Colombian Financial Indexes: A Primer

Serie

• Borradores de economía

Resumen

• A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign securities index (IDXTES) are a plausible case for such distribution. Results also (i) support critiques regarding the flaws of ordinary least squares estimation methods for scale-free distributions; (ii) question the validity of Zipf’s law; (iii) suggest that IGBC and TRM display the scale-free nature documented as a stylized fact of financial returns, and that they may be following a gradually truncated Lévy flight; and (v) suggest that local financial markets are self-organized systems.

autores

• León, Carlos Eduardo

fecha de publicación

• 2014-03

Área temática

• C46 - Distribuciones específicas; Estadísticas específicas
• C58 - Econometría financiera
• G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Financial Returns
• Power-Law
• Scale Free
• Zipf’s Law

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.812

Issue

• 11144